Try using the following adapted function with your data:
Sub downloadFile()
Dim myURL As String
myURL = "http://portal.convenios.gov.br/images/docs/CGSIS/csv/siconv.zip" ' Coloque sua URL aqui!!!
Dim WinHttpReq As Object
Set WinHttpReq = CreateObject("Microsoft.XMLHTTP")
WinHttpReq.Open "GET", myURL, False
WinHttpReq.Send
myURL = WinHttpReq.ResponseBody
If WinHttpReq.Status = 200 Then
Set oStream = CreateObject("ADODB.Stream")
oStream.Open
oStream.Type = 1
oStream.Write WinHttpReq.ResponseBody
oStream.SaveToFile ("C:\Users\user\Downloads\file.zip")
oStream.Close
End If
End Sub
Code adapted from:
link