Simple file downloads can be done in a variety of ways, i.e., using Invoke-RestMethod, Invoke-WebRequest, or via the BitsTransfer module.
If you need to download streaming content, you need more sophisticated commands. On Windows machines, you can download and install the PsoDownloader module:
Install-Module -Name PSODownloader -Scope CurrentUser
It provides you with one simple cmdlet: Invoke-DownloadFile. Either copy the required download URL to the clipboard before you call the command, or use the -Url parameter.
More information can be found here:
https://github.com/TobiasPSP/Modules.PsoDownloader
