(not to be confused with Internet Explorer) can download files via HTTP. Just enter the URL into the Address bar. Or from the command line, for example, C:windowsexplorer.exe get the classic File Download prompt.
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Unless the file is a type that Windows Explorer knows how to display inline, (.html,.jpg,.gif), in which case you would then need to right-click to save it.I just tested this on my image of a virgin install of Windows XP 2002 SP1, and it works fine.