TLDR answers*:
Method 1, by default synchronous**
Invoke-WebRequest $url -OutFile $path_to_file
(if you get error "...Could not create SSL/TLS secure channel." see Powershell Invoke-WebRequest Fails with SSL/TLS Secure Channel)
Method 2, by default synchronous**
(New-Object System.Net.WebClient).DownloadFile($url, $path_to_file)
Method 3, asynchronous and may be much slower than the other two but is very gentle on bandwidth usage (it uses the BITS service).
Import-Module BitsTransfer
Start-BitsTransfer -Source $url -Destination $path_to_file
Notes:
*: This answer is for those that google for "how to download a file with PowerShell".
**: Read the help pages if you want asynchronous downloading