private static final String link = "<THE_FILE_URL>";
    public void startDownload(){
     
        new Thread(new Runnable() {
            @Override
            public void run() {
     
                try {
                    URL url = new URL(link);
                    HttpURLConnection connection = (HttpURLConnection) url.openConnection();
     
                    InputStream in = connection.getInputStream();
     
                    //create the file
                    File file = new File(getFilesDir(), "pic.jpg");
                    FileOutputStream out = new FileOutputStream(file);
     
                    int length;
                    byte[] buffer = new byte[1024];
     
                    while ((length = in.read(buffer)) > 0){
                        out.write(buffer, 0, length);
                    }
     
                } catch (MalformedURLException e) {
                    e.printStackTrace();
                } catch (IOException e) {
                    e.printStackTrace();
                }
            }
        });
     
    }