This script shows how the CreateDownloadPage support function can be used to download temporary files while showing the download progress to the user.

CodeDownloadFiles.iss

; -- CodeDownloadFiles.iss --
;
; This script shows how the CreateDownloadPage support function can be used to
; download temporary files while showing the download progress to the user.

[Setup]
AppName=My Program
AppVersion=1.5
WizardStyle=modern
DefaultDirName={autopf}\My Program
DefaultGroupName=My Program
UninstallDisplayIcon={app}\MyProg.exe
OutputDir=userdocs:Inno Setup Examples Output

[Files]
; Place any regular files here
Source: "MyProg.exe"; DestDir: "{app}";
Source: "MyProg.chm"; DestDir: "{app}";
Source: "Readme.txt"; DestDir: "{app}"; Flags: isreadme;
; These files will be downloaded
Source: "{tmp}\innosetup-latest.exe"; DestDir: "{app}"; Flags: external
Source: "{tmp}\ISCrypt.dll"; DestDir: "{app}"; Flags: external

[Icons]
Name: "{group}\My Program"; Filename: "{app}\MyProg.exe"

[Code]
var
  DownloadPage: TDownloadWizardPage;

function OnDownloadProgress(const Url, FileName: String; const Progress, ProgressMax: Int64): Boolean;
begin
  if Progress = ProgressMax then
    Log(Format('Successfully downloaded file to {tmp}: %s', [FileName]));
  Result := True;
end;

procedure InitializeWizard;
begin
  DownloadPage := CreateDownloadPage(SetupMessage(msgWizardPreparing), SetupMessage(msgPreparingDesc), @OnDownloadProgress);
end;

function NextButtonClick(CurPageID: Integer): Boolean;
begin
  if CurPageID = wpReady then begin
    DownloadPage.Clear;
    DownloadPage.Add('https://jrsoftware.org/download.php/is.exe', 'innosetup-latest.exe', '');
    DownloadPage.Add('https://jrsoftware.org/download.php/iscrypt.dll', 'ISCrypt.dll', '2f6294f9aa09f59a574b5dcd33be54e16b39377984f3d5658cda44950fa0f8fc');
    DownloadPage.Show;
    try
      try
        DownloadPage.Download; // This downloads the files to {tmp}
        Result := True;
      except
        if DownloadPage.AbortedByUser then
          Log('Aborted by user.')
        else
          SuppressibleMsgBox(AddPeriod(GetExceptionMessage), mbCriticalError, MB_OK, IDOK);
        Result := False;
      end;
    finally
      DownloadPage.Hide;
    end;
  end else
    Result := True;
end;