Are you talking about you surf to a site and you want to download it, or you want to let people download it off of your site? If it the first one, you can type the drct link to the file and 75% of the time it will allow you to download it.
I mean, in a command prompt I want someone to be able to type in the URL of a ".zip" file (for example) and download that into a file on their harddrive.
??? What do you mean what language - asp, etc? I mean using a command prompt to download something. For example on Linux, there's Lynx. Pretty much every distribution of linux has it - it's standard. What's the standard on windows?