Since 2008 it is known a bug in stock browser of Android.
As written here: https://code.google.com/p/android/issues/detail?id=1353 Android doesn't support HTTP Basic Auth (401).
This is a problem beacuse an user can't download a protected resource. Only with third party browsers (such Firefox or Opera) it's possible to download a protected file.
So, I've written an application to download all files type, both protected or not.
The object I've used to perform the HTTP request is HttpURLConnection, for more details see the code.
The files are downloaded to /sdcard/Download.
This app require Android 2.2 or higher.
Link to the project: https://sourceforge.net/projects/wgetandroid/
Everyone is invited to improve this code because I've written it fast, so it isn't so good.
I hope that this applications can help you