If you want to test your connection or have some other reason to use the command line to download a file, this is how.
See http://superuser.com/a/284147 for more information.
Open cmd.exe
and use this format:
bitsadmin /transfer debjob /download /priority normal http://cdimage.debian.org/debian-cd/current-live/i386/iso-hybrid/debian-live-8.7.1-i386-xfce-desktop.iso D:\Users\[Username]\Downloads\debian-live-8.7.1-i386-xfce-desktop.iso