When using the additional cmdlets in the BitsTransfer module that comes with Windows 7 and Server 2008 R2, you can make downloads happen silently in the background so you do not need to wait for them. The next lines will download a tutorial video in the background.
$url = 'http://www.idera.com/images/Tours/Videos/PowerShell-Plus-Learning-Center.wmv'
Start-BitsTransfer $url $home\video2.wmv -Asynchronous
You can use Get-BitsTransfer to check progress.