You'll have to use the WebClient class residing inside the System.Net namespace. Please explore it in further details, you can create an instance of the WebClient class
WebClient
client = new WebClient();
and then it has got methods like
client.DownloadData(url); to get the HTML source of the webpage
or
client.DownloadFile(url,fileName); to save the file physically on your local drive.
Before calling the DownloadFile method first check the extension of the URL like, like if it ends with .pdf then in the fileName variable pass in the path to the folder where you want to save PDF files.
Hope it helps.