Ok I got it figured out so I'll put it here for anyone else looking. If anyone has a better way to do it please post here:

import http://System.IO;
var path = "local path on hard drive to write to";

function SaveDownloaded(filename)
{

    Debug.Log("Attempting to download this file: "+filename);

    var fileURL = "www.yourdomain.com/assets/"+filename;
    var www : WWW = new WWW (fileURL);
    yield www;

    var bytes = www.bytes;
    File.WriteAllBytes(path+"/" + filename, bytes);

}