Net C# Book

using System;
using System.Net;
using System.Threading;
class ThreadTest
{
static void Main()
{
new Thread(Download).Start();
Console.WriteLine("I'm still here while the download's happening!");
Console.ReadLine();
}
static void Download()
{
WebClient wc = new WebClient();
try
{
wc.Proxy = null;
wc.DownloadFile("http://www.yourDomain", "your.html");
Console.WriteLine("Finished!");
}
catch (Exception ex)
{
// Process exception...
}
}
}