Automate file download through HTTP.

download active perl and write a script to "Get" the url. Then write the result to disk. No IE required. it is less than 50 lines of perl and can be run from the task scheduler. The following is an example from O'reilly's perl in a nutshell.

use LWP::UserAgent;

$hdrs = new HTTP::Headers(Accept => 'text/plain',
User-Agent => 'MegaBrowser/1.0');

$url = new URI::URL('www.ora.com/index.html');
$req = new HTTP::Request(GET, $url, $hdrs);
$ua = new LWP::UserAgent;
$resp = $ua->request($req);
if ($resp->is_success) {
print $resp->content;}
else {
print $resp->message;}
Please remember to rate this answer.

try this.
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/winhttp/http/retrieving_data_using_script.asp

it is a built in com object for winxp and win2k sp3 it may also be scheduled.
please rate my answer.

When IE receive a file that he can't parse it, he pass it to OS, this why you get "the file download dialog".
Think about web services.

Dim webObj, strURL, strFile
Set webObj = CreateObject("Msxml2.ServerXMLHTTP")
strURL =

"http://ichart.finance.yahoo.com/table.csv?s=UPS&d=5&e=21&f=2005&g=d&a=10&b=10&c=1999&ignore=.

csv"
webObj.Open "GET", strURL
webObj.send
If webObj.Status=200 Then
Set objFso = CreateObject("Scripting.FileSystemObject")
Set txtFile = objFso.OpenTextFile("file.csv", 2, True)
txtFile.WriteLine webObj.responseText
txtFile.close
Else
MsgBox "no good"
End If