public void saveFile(String url)
    {
        Uri Url = new Uri(@url);
        String filePath = "c:\";
        fileName = url.Substring(url.LastIndexOf("/") + 1).Replace("%20", " ").Replace("%28", " ").Replace("%29", " ");
        SaveFileDialog saveFileDialog1 = new SaveFileDialog();
        saveFileDialog1.FileName = fileName;
        if (saveFileDialog1.ShowDialog() == DialogResult.OK)
        {
            filePath = saveFileDialog1.FileName;
            CookieAwareWebClient http = new CookieAwareWebClient(new CookieContainer());
            http.DownloadProgressChanged += new DownloadProgressChangedEventHandler(client_DownloadProgressChanged);
            http.Headers[HttpRequestHeader.ContentType] = "application/x-www-form-urlencoded";
            string response = http.UploadString("http://courseweb.sliit.lk/login/index.php", "username=" + Form1.USERNAME + "&password=" + Form1.PASSWORD + "&submit=submit");
            //http.DownloadFile(Url, filePath);
            http.DownloadFileAsync(Url, filePath);
            this.Text = "Downloading File - " + fileName;
        }
    }

using System;
using System.Collections.Generic;
using System.Linq;
using System.Net;
using System.Text;

namespace Course_Web
{
    public class CookieAwareWebClient : WebClient
    {
        Uri target = new Uri("http://unversitywebsite.com");
        public CookieContainer CookieContainer { get; set; }
        public Uri Uri { get; set; }



        public CookieAwareWebClient()
            : this(new CookieContainer())
        {
        }

        public CookieAwareWebClient(CookieContainer cookies)
        {
            this.CookieContainer = cookies;
        }

        protected override WebRequest GetWebRequest(Uri address)
        {
            WebRequest request = base.GetWebRequest(address);
            if (request is HttpWebRequest)
            {
                (request as HttpWebRequest).CookieContainer = this.CookieContainer;
            }
            HttpWebRequest httpRequest = (HttpWebRequest)request;
            httpRequest.AutomaticDecompression = DecompressionMethods.GZip | DecompressionMethods.Deflate;
            return httpRequest;
        }

        protected override WebResponse GetWebResponse(WebRequest request)
        {
            WebResponse response = base.GetWebResponse(request);
            String setCookieHeader = response.Headers[HttpResponseHeader.SetCookie];

            if (setCookieHeader != null)
            {
                //do something if needed to parse out the cookie.
                if (setCookieHeader != null)
                {
                    Cookie cookie = new Cookie("CookieName", "CookieValue") { Domain = target.Host }; //create cookie
                    this.CookieContainer.Add(cookie);
                }
            }
            return response;
        }
    }
}