Also you can use DownloadFileAsync method in WebClient class. It downloads to a local file the resource with the specified URI. Also this method does not block the calling thread.
Sample:
webClient.DownloadFileAsync(new Uri("http://www.example.com/file/test.jpg"), "test.jpg");
For more information:
http://csharpexamples.com/download-files-synchronous-asynchronous-url-c/