Is it possible to download from windows command line?

Is it possible to download without using any non-standard windows included utilities?

The preferred version is windows xp, but it's also interesting to know for newer versions.

In order to clarify my question

• It has to be using HTTP
• The file needs to be saved
• Standard clean Windows install, no extra tools

So basically, since everybody is screaming Wget , I want simple Wget functionality, without using Wget.

Starting with windows 7 i believe there's a single method that hasn't been mentioned yet and it's easy

Syntax:

bitsadmin  /transfer job_name       /download  /priority priority   URL  local\path\file

Example.

bitsadmin  /transfer mydownloadjob  /download  /priority normal  ^
                  http://example.com/filename.zip  C:\Users\username\Downloads\filename.zip

^{(Broken into two separate lines with ^ for readability (to avoid scrolling).)}

Warning: As pointed out in the comments, the bitsadmin help message starts by saying:

BITSAdmin is deprecated and is not guaranteed to be available in future versions of Windows.
Administrative tools for the BITS service are now provided by BITS PowerShell cmdlets.

... but another comment reported that it works on Windows 8.