public static void DownloadToFile(string url, string saveName, CookieContainer cookie)
{
    HttpWebRequest request = (HttpWebRequest)WebRequest.Create(url);
    request.Credentials = CredentialCache.DefaultCredentials;
    if (cookie != null)
        request.CookieContainer = cookie;
    HttpWebResponse response = (HttpWebResponse)request.GetResponse();

    using (Stream dataStream = response.GetResponseStream())
    {
        using (FileStream fs = new FileStream(saveName, FileMode.Create, FileAccess.Write))
        {
            byte[] buffer = new byte[1024];
            while (true)
            {
                int sizeRead = dataStream.Read(buffer, 0, buffer.Length);
                if (sizeRead > 0)
                    fs.Write(buffer, 0, sizeRead);
                else
                    break;
            }
            fs.Flush();
        }
    }
}