What data you want to download ? is it XML ? if yes then you can download it using webclient class, this class provide common methods for sending data to and receiving data from a resource identified by a URI.
use 'WebClient.DownloadFile Method ' to download file and then you can bind that file to gridview directly OR you can use WebClient.DownloadFileAsync Method, it Downloads the specified resource to a local file as an asynchronous operation and returns a task object. These methods do not block the calling thread.
see below code to bind xml to dataset and then dataset to gridview
//read xml and load dataset
XmlReader xmlFile ;
xmlFile = XmlReader.Create("Product.xml", new XmlReaderSettings());
DataSet ds = new DataSet();
gridview1.datasource = ds.Tables;
Hope it helps
Editor, DotNetSpider MVM
Microsoft MVP 2014 [ASP.NET/IIS]