With PowerShell 2.0 (Windows 7 preinstalled) you can use:
(New-Object Net.WebClient).DownloadFile('http://www.example.com/package.zip', 'package.zip')
Starting with PowerShell 3.0 (Windows 8 preinstalled) you can use Invoke-WebRequest
:
Invoke-WebRequest http://www.example.com/package.zip -OutFile package.zip
From a batch file they are called:
powershell -Command "(New-Object Net.WebClient).DownloadFile('http://www.example.com/package.zip', 'package.zip')"
powershell -Command "Invoke-WebRequest http://www.example.com/package.zip -OutFile package.zip"
(PowerShell 2.0 is available for installation on XP, 3.0 for Windows 7)