割と基本的な処理なのにあんまりサンプルコード無いですね…。

pom.xml

<!-- 省略 -->
    <dependency>
      <groupId>org.apache.httpcomponents</groupId>
      <artifactId>httpclient</artifactId>
      <version>4.5.2</version>
    </dependency>
<!-- 省略 -->

Main.java

import java.io.IOException;
import java.nio.file.Files;
import java.nio.file.Paths;

import org.apache.http.HttpEntity;
import org.apache.http.client.ClientProtocolException;
import org.apache.http.client.methods.CloseableHttpResponse;
import org.apache.http.client.methods.HttpGet;
import org.apache.http.impl.client.CloseableHttpClient;
import org.apache.http.impl.client.HttpClients;
import org.apache.http.util.EntityUtils;

public class Main {
	public static void main(final String[] args) throws IOException {
		try (final CloseableHttpClient client = HttpClients.createDefault();
				final CloseableHttpResponse response = client.execute(new HttpGet("http://example.com/file"))) {
			final int status = response.getStatusLine().getStatusCode();
			if (status >= 200 && status < 300) {
				final HttpEntity entity = response.getEntity();
				Files.write(Paths.get("path/to/file"), entity == null ? new byte[0] : EntityUtils.toByteArray(entity));
			} else {
				throw new ClientProtocolException("Unexpected response status: " + status);
			}
		}
	}
}

参考リンク

Apache HttpComponents - HttpComponents HttpClient Examples