Windows does not have a built in utility to download files given a direct http/ftp URL.
Unix systems, however, have the "wget" (which, by the way, was ported to windows) tool that is very effective and simple to use.
Since powershell can perform any task .NET can, there are some simple alternatives to wget that can be adopted quickly.
$webClient = New-Object System.Net.WebClient
$webClient.DownloadFile("http://yoururl
/file.mp3" , "c:\\files\\file.mp3")- It can get more complicated as in this example:
http://huddledmasses.org/wget-2-for-powershell/#comment-178113 - Or it is possible to write a custom cmdlet for this purpose:
http://blog.brianhartsock.com/2009/03/03/my-first-powershell-snapin-get-url-wget/
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PowerShell