Wow, just now in 2009 you tell us this ? Seriously, where were you in the last 40 years ? We now have to rewrite every OS out there to support downloading files, instead of leaving that up to applications. What a bummer, so much work.
OSes should provide hardware and network layer communication services and that's about it. The OS gives you sockets, and an Application uses that socket interface to download and upload information. The OS should provide a filesystem, and Applications use that filesystem interface to write out files.
This is proper OS design. Good seperation of kernel space and user space is important.