Windows: downloading a file from command line

I want to download a file from a given link. How to do it from command line in Windows? Its a MIT open course ware zip file whose size is bigger than what is allowed on our network. Or is there is legal site through which I can download this file?

You can get Wget for Windows and use it from command line.

But, what do you mean by 'bigger than allowed on your network'?
How is it implemented? (how do you see it limiting this download for example).

Further on your comment:
If you get reply too large, you could consider a multi-part download.
Many accelerators support that -- DownThemAll is one such for Firefox.

I would also suggest talking with your squid admin to reason out your need for the download.
They may create an exception, or (rarely)
even download it and keep it in a local shared area;
if the download is legal as you suggest.

Finally, you do not really need the command line for this.
MultiGet wraps features of wget in a GUI.