Downloading files in VB6 usually entails either using the Synchronous UrlDownloadToFile Api (which completely hangs your interface until the download completes), some messy code and an external control, or a mountain of error prone code and the winsock control.
Turns out MS has a very slick way of doing async downloads already built in and requiring no external Api or controls! How could this be hidden from me for so long?! This is a thing of beauty.