If you want to download a Windows executable on the Mac, then run that executable inside the Windows virtual machine, you'll have to use "Shared Folders."
Simply add a Shared Folder to your virtual machine (sorry, not in front of VirtualBox right now so I don't know exactly where that's located) for any folder on your Mac. then, download the file into that directory. From within the Windows virtual machine, connect to (you can do this by selecting Start > Run) "\\vboxsvr\sharename" where "sharename" is the name of the folder you added.
Shared folders under VirtualBox aren't as elegant as they are under Parallels or Fusion, but they work -- provided you set them up correctly.