Download a file with VBS

In addition to Alex K answer, I used the following if it helps someone :

Define object

Set objWinHttp = CreateObject("WinHttp.WinHttpRequest.5.1")

Call Download link with a file ( image in our case )

URL = "https://www.grupya.com/public/assets/img/logo.png"
objWinHttp.open "GET", URL, False
objWinHttp.send ""

Save the Binary data to Disk

SaveBinaryData "c:\temp\my.png",objWinHttp.responseBody

SaveBinaryData Function

Function SaveBinaryData(FileName, Data)

' adTypeText for binary = 1
Const adTypeText = 1
Const adSaveCreateOverWrite = 2

' Create Stream object
Dim BinaryStream
Set BinaryStream = CreateObject("ADODB.Stream")

' Specify stream type - we want To save Data/string data.
BinaryStream.Type = adTypeText

' Open the stream And write binary data To the object
BinaryStream.Open
BinaryStream.Write Data

' Save binary data To disk
BinaryStream.SaveToFile FileName, adSaveCreateOverWrite

End Function

The above answer threw the error Write to file failed. Code: 800A0BBC for me, however this worked:

HTTPDownload "http://www.emagcloud.com/europeansealing/FSA_ESA_Compression_Packing_Technical_Manual_v3/pubData/source/images/pages/page10.jpg", "C:\"

Where

Sub HTTPDownload( myURL, myPath )
    ' This Sub downloads the FILE specified in myURL to the path specified in myPath.
    '
    ' myURL must always end with a file name
    ' myPath may be a directory or a file name; in either case the directory must exist
    '
    ' Written by Rob van der Woude
    ' http://www.robvanderwoude.com
    '
    ' Based on a script found on the Thai Visa forum
    ' http://www.thaivisa.com/forum/index.php?showtopic=21832
    
        ' Standard housekeeping
        Dim i, objFile, objFSO, objHTTP, strFile, strMsg
        Const ForReading = 1, ForWriting = 2, ForAppending = 8
    
        ' Create a File System Object
        Set objFSO = CreateObject( "Scripting.FileSystemObject" )
    
        ' Check if the specified target file or folder exists,
        ' and build the fully qualified path of the target file
        If objFSO.FolderExists( myPath ) Then
            strFile = objFSO.BuildPath( myPath, Mid( myURL, InStrRev( myURL, "/" ) + 1 ) )
        ElseIf objFSO.FolderExists( Left( myPath, InStrRev( myPath, "\" ) - 1 ) ) Then
            strFile = myPath
        Else
            WScript.Echo "ERROR: Target folder not found."
            Exit Sub
        End If
    
        ' Create or open the target file
        Set objFile = objFSO.OpenTextFile( strFile, ForWriting, True )
    
        ' Create an HTTP object
        Set objHTTP = CreateObject( "WinHttp.WinHttpRequest.5.1" )
    
        ' Download the specified URL
        objHTTP.Open "GET", myURL, False
        objHTTP.Send
    
        ' Write the downloaded byte stream to the target file
        For i = 1 To LenB( objHTTP.ResponseBody )
            objFile.Write Chr( AscB( MidB( objHTTP.ResponseBody, i, 1 ) ) )
        Next
    
        ' Close the target file
        objFile.Close( )
End Sub

You can download using XMLHTTP and leverage an ADO stream to write the binary data;

dim xHttp: Set xHttp = createobject("Microsoft.XMLHTTP")
dim bStrm: Set bStrm = createobject("Adodb.Stream")
xHttp.Open "GET", "http://example.com/someimage.png", False
xHttp.Send

with bStrm
    .type = 1 '//binary
    .open
    .write xHttp.responseBody
    .savetofile "c:\temp\someimage.png", 2 '//overwrite
end with