The built-in tasks do not include a simple task to load a file from any URL to the working directory. There is a custom extension in the marketplace that you can use for this purpose. If this is not suitable for you, then you can do this with a simple PowerShell task as follows:
- task: PowerShell@2
displayName: "Download File"
inputs:
targetType: "inline"
script: |
Invoke-WebRequest -Uri "https://any-host-$(withParameter).net/FileName.zip" -OutFile "$(Pipeline.Workspace)/Pipeline/drop/$(targetFolderName)/assets/FileName.zip"