In principle it is very easy:

URL url = new URL("http://www.google.com/intl/us_ALL/images/logo.gif");
InputStream input = url.openStream();
OutputStream output = new FileOutputStream("logo.gif");
for (int c = input.read(); c != -1; /**/)
 output.write(c);
input.close();
output.close();

Try/catch for IOExceptions and performance-optimizing is left to the reader
as an exercise. ;-)

Try this;

import java.net.*;
import java.io.*;

public class saveBinaryFile
{
   public static void main (String args[])
   {
      try
      {
         URL root = new URL(args[0]);
         saveBinaryFile(root);
      }
      catch (MalformedURLException e)
      {
         System.err.println(args[0] + " is not a URL I understand.");
      }
   }

   public static void saveBinaryFile(URL u)
   {
      int bfr = 1;
      try
      {
         URLConnection uc = u .openConnection();
         String        ct = uc.getContentType();
         int           cl = uc.getContentLength();

         if (ct.startsWith("text/") || cl == -1 )
         {
            System.err.println("This is not a binary file.");
            return;
         }

         InputStream theImage  = uc.getInputStream();
         byte[]      b         = new byte[cl];
         int         bytesread = 0;
         int         offset    = 0;

         while (bytesread >= 0)
         {
            bytesread = theImage.read(b, offset, bfr);
            if (bytesread == -1) break;
            offset += bytesread;
         }
         if (offset != cl)
         {
            System.err.println("Error: Only read " + offset + " bytes");
            System.err.println("Expected " + cl + " bytes");
         }
         String           theFile = u.getFile();
         theFile                  =
theFile.substring(theFile.lastIndexOf('/') + 1);

         FileOutputStream fout    = new FileOutputStream(theFile);
         fout.write(b);
      }
      catch (Exception e)
      {
         System.err.println(e);
      }
      return;
   }
}

1. Compile the above.

2. On windows box make a anyname.bat file and paste the following.

REM *** Test of Google logo d/l ***
java saveBinaryFile "http://www.google.com/intl/us_ALL/images/logo.gif"
pause

3. Put both in the same directory.
4. Double click on the bat file.

The image file should be saved in the same directory as the compiled class