using System.IO;
using System.Text;

private void DownloadFile()
{
  HttpWebRequest request = (HttpWebRequest)HttpWebRequest.Create("http://www.dotnethell.it/img/newlogo3.png");

  using (HttpWebResponse response = (HttpWebResponse)request.GetResponse())
  {
    using (Stream responseStream = response.GetResponseStream())
    {
      using (FileStream file = new FileStream(@"C:\newlogo3.png", FileMode.Create, FileAccess.Write, FileShare.None))
      {
        byte[] read = new byte[256];
        int count = responseStream.Read(read, 0, 256);
        file.Write(read, 0, count);
        while (count > 0)
        {
          count = responseStream.Read(read, 0, 256);
          file.Write(read, 0, count);
        }
      }
    }
  }
}