Windows 7 and Server 2008 R2 come with a module called BitsTransfer, which allows you to access the background intelligent transfer service used by Windows Update. With it, you can download files from the Internet. The next lines will download a tutorial video for PowerShell and play it in Media Player:
$url = 'http://www.idera.com/images/Tours/Videos/PowerShell-Plus-Learning-Center.wmv'
Start-BitsTransfer $url $home\video1.wmv