Download file using JScript. Not tested (yet), because of work's proxy policies and Stupid Windows!

download.js

var fs = new ActiveXObject("Scripting.FileSystemObject");
var shell = new ActiveXObject("WScript.Shell");
var url = WScript.Arguments(0);
var to;

try {
  to = WScript.Arguments(1);
} catch(err) {
	to = null;
}

if (!to) {
	to = shell.CurrentDirectory;
}

if (download(url, to)) {
	WScript.Quit(0);
} else {
	WScript.Quit(1);
}

function download(url, to, opts) {
	
	opts = opts || {};
	var fs = new ActiveXObject("Scripting.FileSystemObject");
	var http = new ActiveXObject("WinHttp.WinHttpRequest.5.1");
	var path = fs.getAbsolutePathName(to);
	var filename = /([^\/]*)$/.exec(url)[1];
	var filepath = fs.BuildPath(path, filename);

	if (!fs.FolderExists(path)) {
		// Criar pasta se não existir
		fs.CreateFolder(path);
	}

	// Gets the file
	http.Open("GET", url, false);
	http.Send();


	WScript.Echo("`url`: " + url
		+ "\n`to`: " + to
		+ "\npath: " + path
		+ "\nfilename: " + filename
		+ "\nfilepath: " + filepath
		+ "\nSTATUS: " + http.Status);

	if (http.Status >= 200 && http.Status < 300) {
		var bytes = http.ResponseBody;
		var size = bytes.length;
		var file = fs.OpenTextFile(filepath, 2, true);
		for (var i = 0; i < size; i++) {
			file.Write(bytes[i]);
		}
		file.Close();
	}

	return true;
}