PowerShell (any version):
(New-Object System.Net.WebClient).DownloadFile("https://example.com/archive.zip", "C:\Windows\Temp\archive.zip")
Full documentation here.
PowerShell 4.0 & 5.0:
Invoke-WebRequest "https://example.com/archive.zip" -OutFile "C:\Windows\Temp\archive.zip"
Full documentation here.
