public class Client {
    public event EventHandler<ReceivedFileEventArgs> ReceivedFile;

    private ReceivedFileEventArgs onReceivedFile() {
        EventHandler<ReceivedFileEventArgs> handler = ReceivedFile;
        ReceivedFileEventArgs args = new ReceivedFileEventArgs();
        if (handler != null) { handler(this, args); }
        return args;
    }

    private void receiveFileCode() {
        // this is where you download the file
        ReceivedFileEventArgs args = onReceivedFile();
        if (args.Cancel) { return; }
        string filename = args.FileName;
        // write to filename
    }
}

public class ReceivedFileEventArgs {
    public string FileName { get; set; }
    public bool Cancel { get; set; }
}

public class MyForm : Form {
   public MyForm() { Initialize(); }

   protected void buttonClick(object sender, EventArgs e) {
       // Suppose we initialize a client on a click of a button
       Client client = new Client();
       // note: don't use () on the function here
       client.ReceivedFile += onReceivedFile;
       client.Connect();
   }

   private void onReceivedFile(object sender, ReceivedFileEventArgs args) {
       if (InvokeRequired) {
           // we need to make sure we are on the GUI thread
           Invoke(new Action<object, args>(onReceivedFile), sender, args);
           return;
       }
       // we are in the GUI thread, so we can show the SaveFileDialog
       using (SaveFileDialog dialog = new SaveFileDialog()) {
           args.FileName = dialog.FileName;
       }
   }
}