From .Net 4.5 onwards: Use IProgress<T>

Since .Net 4.5 you can handle asynchronous progress reporting with the IProgress<T> interface. You can write an extension method for downloading files using the HttpClient that can be called like this where progress is the implementation of IProgress<float> for your progress bar or other UI stuff:

// Seting up the http client used to download the data
using (var client = new HttpClient()) {
    client.Timeout = TimeSpan.FromMinutes(5);

    // Create a file stream to store the downloaded data.
    // This really can be any type of writeable stream.
    using (var file = new FileStream(filePath, FileMode.Create, FileAccess.Write, FileShare.None)) {

        // Use the custom extension method below to download the data.
        // The passed progress-instance will receive the download status updates.
        await client.DownloadAsync(DownloadUrl, file, progress, cancellationToken);
    }
}

Implementation

The code for this extension method looks like this. Note that this extension depends on another extension for handling asynchronous stream copying with progress reporting.

public static class HttpClientExtensions
{
    public static async Task DownloadAsync(this HttpClient client, string requestUri, Stream destination, IProgress<float> progress = null, CancellationToken cancellationToken = default) {
        // Get the http headers first to examine the content length
        using (var response = await client.GetAsync(requestUri, HttpCompletionOption.ResponseHeadersRead)) {
            var contentLength = response.Content.Headers.ContentLength;

            using (var download = await response.Content.ReadAsStreamAsync()) {

                // Ignore progress reporting when no progress reporter was 
                // passed or when the content length is unknown
                if (progress == null || !contentLength.HasValue) {
                    await download.CopyToAsync(destination);
                    return;
                }

                // Convert absolute progress (bytes downloaded) into relative progress (0% - 100%)
                var relativeProgress = new Progress<long>(totalBytes => progress.Report((float)totalBytes / contentLength.Value));
                // Use extension method to report progress while downloading
                await download.CopyToAsync(destination, 81920, relativeProgress, cancellationToken);
                progress.Report(1);
            }
        }
    }
}

With stream extension for the real progress reporting:

public static class StreamExtensions
{
    public static async Task CopyToAsync(this Stream source, Stream destination, int bufferSize, IProgress<long> progress = null, CancellationToken cancellationToken = default) {
        if (source == null)
            throw new ArgumentNullException(nameof(source));
        if (!source.CanRead)
            throw new ArgumentException("Has to be readable", nameof(source));
        if (destination == null)
            throw new ArgumentNullException(nameof(destination));
        if (!destination.CanWrite)
            throw new ArgumentException("Has to be writable", nameof(destination));
        if (bufferSize < 0)
            throw new ArgumentOutOfRangeException(nameof(bufferSize));

        var buffer = new byte[bufferSize];
        long totalBytesRead = 0;
        int bytesRead;
        while ((bytesRead = await source.ReadAsync(buffer, 0, buffer.Length, cancellationToken).ConfigureAwait(false)) != 0) {
            await destination.WriteAsync(buffer, 0, bytesRead, cancellationToken).ConfigureAwait(false);
            totalBytesRead += bytesRead;
            progress?.Report(totalBytesRead);
        }
    }
}