MainActivity{

    Dialog dialog;
    ProgressDialog progress;

    onCreate(){
        dialog = new Dialog(this);
        progress = new ProgressDialog(this);
        dialog.setContentView(Some View Resource With My Button);
        someMethod();
        dialog.show();
    }

    someMethod(){
        Button button = (Button) dialog.findViewById(resource of button);
        button.setOnClickListener(new OnClickListener(){

            onClick(){
                dialog.dismiss();
                progress.show();
                new DownloaderAsyncTask(progress).execute().get();
            }

                    //go to another activity when download finished

        });
    }

    private class DownloaderAsyncTask extends AsyncTask<Void, Void, Void>{

        ProgressDialog progress;

        DownloaderAsyncTask(ProgressDialog progress){
            this.progress = progress;
        }

        doInBackGround(){
            //Downloading
        }

        onPostExecute(){
            //Kill connection
            this.progress.dismiss();
        }

    }

}

new DownloaderAsyncTask(progress).execute().get();

someMethod() {
        Button button = (Button) dialog.findViewById(resource of button);
        button.setOnClickListener(new OnClickListener(){

            onClick(){
                dialog.dismiss();
                progress.show();
                new DownloaderAsyncTask().execute();
            }
        });

private void downloaderFinished() {
    this.progress.dismiss();
    /// go to next activity.
}

private class DownloaderAsyncTask extends AsyncTask<Void, Void, Void>{

        doInBackGround(){
            //Downloading
        }

        onPostExecute(){
            //Kill connection
            downloaderFinished();
        }
    }