taken from http://bit.ly/XT7ban for easy forking.

file_download.py

import urllib2                                                # needed for functions,classed for opening urls.
url = raw_input( "enter the url needed for downloading file(pdf,mp3,zip...etc)\n");

usock = urllib2.urlopen(url)                                  #function for opening desired url
file_name = url.split('/')[-1]                                #Example : for given url "www.cs.berkeley.edu/~vazirani/algorithms/chap6.pdf" file_name will store "chap6.pdf"
f = open(file_name, 'wb')                                     #opening file for write and that too in binary mode.
file_size = int(usock.info().getheaders("Content-Length")[0]) #getting size in bytes of file(pdf,mp3...)
print "Downloading: %s Bytes: %s" % (file_name, file_size)

downloaded = 0
block_size = 8192                                            #bytes to be downloaded in each loop till file pointer does not return eof
while True:
   buff = usock.read(block_size)
   if not buff: #file pointer reached the eof
     break

   downloaded = downloaded + len(buff)
   f.write(buff)
   download_status = r"%3.2f%%" % (downloaded * 100.00 / file_size) #Simple mathematics
   download_status = download_status + (len(download_status)+1) * chr(8)
   print download_status,"done"

f.close()