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A member in HackForums by the handle Jakash3 has posted a source code on how to download files from the Internet that can be compiled in both Linux and Windows.  Another great feature is that it supports IPv6.

[code]
#if defined(_WIN32)
#include "WinSock2.h"
#include "Ws2tcpip.h"
#pragma comment(lib,"ws2_32.lib")
#elif defined(linux)
#include <unistd.h>
#include <sys/socket.h>
#include <netinet/in.h>
#include <arpa/inet.h>
#include <netdb.h>
#else
#error Mac detected.
#endif

#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <stdarg.h>

void help() {
puts(
"HTTP File Downloader - by Jakash3\n"
"Arguments: FILE_URL OUTPUT_FILE\n"
);
exit(1);
}

void fail(const char* format, ...) {
va_list v;
va_start(v, format);
vprintf(format, v);
exit(1);
}

int main(int argc, char** argv) {
if (argc != 3) help();
#if defined(_WIN32)
struct WSAData* wd = (struct WSAData*)malloc(sizeof(struct WSAData));
if (WSAStartup(MAKEWORD(2, 0), wd))
fail("Failed to initialize Winsock API.\n");
free(wd);
SOCKET sock;
#elif defined(linux)
int sock;
#endif
char c;
int i, j;
FILE* f;
char* host = argv[1];
struct addrinfo* ai;
struct addrinfo hints;
char buf[512];
if (!(f = fopen(argv[2], "w"))) fail("Error. Failed to open: %s", argv[2]);
if (strstr(argv[1], "http://") == argv[1]) host += 7;
memset(&hints, 0, sizeof(struct addrinfo));
hints.ai_family = AF_UNSPEC;
hints.ai_socktype = SOCK_STREAM;
hints.ai_protocol = IPPROTO_TCP;
sprintf(buf, "GET %s HTTP/1.1\r\n", argv[1]);
*strchr(host, '/') = '\0';
if (i = getaddrinfo(host, "80", &hints, &ai)) fail("Error. %s\n", gai_strerror(i));
sprintf(buf + strlen(buf), "Host: %s\r\n\r\n", host);
sock = socket(ai->ai_family, ai->ai_socktype, ai->ai_protocol);
if (connect(sock, ai->ai_addr, ai->ai_addrlen))
fail("Error. Failed to connect to host.\n");
freeaddrinfo(ai);
i = send(sock, buf, strlen(buf), 0);
if (i < strlen(buf) || i == -1) fail("Error. Failed to send GET request!\n");
while (strcmp(buf, "\r\n")) {
for (i = 0; strcmp(buf + i - 2, "\r\n"); i++) { recv(sock, buf + i, 1, 0); buf[i + 1] = '\0'; }
if (strstr(buf, "HTTP/") == buf) {
puts(strchr(buf, ' ') + 1);
if (strcmp(strchr(buf, ' ') + 1, "200 OK\r\n")) exit(1);
}
if (strstr(buf, "Content-Length:") == buf) {
*strchr(buf, '\r') = '\0';
j = atoi(strchr(buf, ' ') + 1);
}
}
for (i = 0; i < j; i++) { recv(sock, &c, 1, 0); fputc(c, f); }
fclose(f);
#if defined(_WIN32)
closesocket(sock);
WSACleanup();
#elif defined(linux)
close(sock);
#endif
return 0;
}
[/code]

Source: [Win32/*nix] HTTP File Downloader