Assuming you dont have progress on the webserver, you can't. Even if you have progress installed on your webserver, you might want to ask yourself why you programatically want to use progress for configuration purposes.
But for the purpose of the question. If you have progress on that machine and you know the location (the url is just an external pointer to the specific file so it gets retrieved when that url is entered in a web browser) you can use os-copy to copy the file.
It is better maybe if you tell us the story behind this question. What do you exaxctly want to do and for what purpose? the fact that you give an url suggests that you want to retrieve a file with a webbrowser and then copy it to another location using progress. This somehow doesnt make much sense to me.
Regards,
Casper.