C#

static void updateProgress(object sender, DownloadProgressChangedEventArgs e)
{
    progress = e.ProgressPercentage;
}

static void finishedDownload(object sender, AsyncCompletedEventArgs e)
{
    done = true;
    progress = 0;
    (sender as IDisposable).Dispose();
}

// Returns the local path where the file is downloaded to
public void downloadFile(string url)
{
    done = false;
    progress = 0;
    WebClient client = new WebClient();
    try
    {
        client.DownloadFileCompleted += new AsyncCompletedEventHandler(finishedDownload);
        client.DownloadProgressChanged += new DownloadProgressChangedEventHandler(updateProgress);

        Console.WriteLine("Before");
        client.DownloadFileAsync(new Uri(url), Application.StartupPath + "\\temp.flv");
        Console.WriteLine("After");
    }
    catch (Exception ex)
    {
        if (client != null)
            client.Dispose();
        done = true;
        MessageBox.Show(ex.Message);
    }
}