$url = 'http://www.example.com/example.zip';
$rfile = fopen($url, 'r');
$lfile = fopen(basename($url), 'w');
fwrite($lfile, fread($rfile, BUFSIZ), BUFSIZ);
Change the $url value with the url of the file which you want to download..
Just put this script in the folder where you want to download the file to.. Change the permissions of the folder to writable..
Now just access the script url via your web browser and wait for the page to load completely, Once fully loaded, the remote file should be on your server..