How are you downloading the file? Using a WebClient?
[highlight=vb.net]Private WithEvents wc As New WebClient
Private Sub downloadFile()
wc.DownloadFileAsync(New Uri("https://www.somesite.com/file.rar"), "C:\SomeFolder\file.rar")
End Sub
Private Sub wc_DownloadProgressChanged(ByVal sender As Object, ByVal e As System.Net.DownloadProgressChangedEventArgs) Handles wc.DownloadProgressChanged
MsgBox("Total Size - " & e.TotalBytesToReceive) 'This is going to keep popping up everytime it downloads a part of the file
MsgBox("Downloaded - " & e.BytesReceived & " bytes")
MsgBox("Percentage - " & e.ProgressPercentage & "%")
End Sub[/highlight]