gistfile1.as

var urlString:String = "http://example.com/myfile.zip";
var urlReq:URLRequest = new URLRequest(urlString);
var urlStream:URLStream = new URLStream();
var fileData:ByteArray = new ByteArray();
urlStream.addEventListener(Event.COMPLETE, loaded);
urlStream.load(urlReq);

function loaded(event:Event):void {
  urlStream.readBytes(fileData, 0, urlStream.bytesAvailable);
  writeFile();
}

function writeFile():void {
  var file:File = File.desktopDirectory.resolvePath("myfile.zip");
  var fileStream:FileStream = new FileStream();
  fileStream.openAsync(file, FileMode.WRITE);
  fileStream.writeBytes(fileData, 0, fileData.length);
  fileStream.close();
}