Fastest C# Code to Download a Web Page

public static void DownloadFile(string remoteFilename, string localFilename)
{
    WebClient client = new WebClient();
    client.DownloadFile(remoteFilename, localFilename);
}

System.Net.WebClient

From MSDN:

using System;
using System.Net;
using System.IO;

public class Test
{
    public static void Main (string[] args)
    {
        if (args == null || args.Length == 0)
        {
            throw new ApplicationException ("Specify the URI of the resource to retrieve.");
        }
        WebClient client = new WebClient ();

        // Add a user agent header in case the 
        // requested URI contains a query.

        client.Headers.Add ("user-agent", "Mozilla/4.0 (compatible; MSIE 6.0; Windows NT 5.2; .NET CLR 1.0.3705;)");

        Stream data = client.OpenRead (args[0]);
        StreamReader reader = new StreamReader (data);
        string s = reader.ReadToEnd ();
        Console.WriteLine (s);
        data.Close ();
        reader.Close ();
    }
}

Use the WebClient class from System.Net; on .NET 2.0 and higher.

WebClient Client = new WebClient ();
Client.DownloadFile("http://mysite.com/myfile.txt", " C:\myfile.txt");