There's a utility (resides with CMD) on Windows which can be run from CMD (if you have write access):
set url=https://www.nsa.org/content/hl-images/2017/02/09/NSA.jpg
set file=file.jpg
certutil -urlcache -split -f %url% %file%
echo Done.
Built in Windows application. No need for external downloads.
Tested on Win 10