Starting with Java 7, you can download a file with built-in features as simple as

Files.copy(
    new URL("http://example.com/update/PubApp_2.0.jar").openStream(),
    Paths.get("C:/PubApp_2.0/update/lib/kitap.jar"));
// specify StandardCopyOption.REPLACE_EXISTING as 3rd argument to enable overwriting

for earlier versions, the solution from Java 1.4 to Java 6 is

try(
  ReadableByteChannel in=Channels.newChannel(
    new URL("http://example.com/update/PubApp_2.0.jar").openStream());
  FileChannel out=new FileOutputStream(
    "C:/PubApp_2.0/update/lib/kitap.jar").getChannel() ) {

  out.transferFrom(in, 0, Long.MAX_VALUE);
}

This code transfers a URL content to a file without any 3rd party library. If it’s still slow, you know that it is not the additional library’s and most probably not Java’s fault. At least there’s nothing you could improve here. So then you should search the reason outside the JVM.

  try {
        // Get the directory and iterate them to get file by file...
        File file = new File(fileName);

        if (!file.exists()) {
            context.addMessage(new ErrorMessage("msg.file.notdownloaded"));
            context.setForwardName("failure");
        } else {
            response.setContentType("APPLICATION/DOWNLOAD");
            response.setHeader("Content-Disposition", "attachment"+ 
                                     "filename=" + file.getName());
            stream = new FileInputStream(file);
            response.setContentLength(stream.available());
            OutputStream os = response.getOutputStream();      
            os.close();
            response.flushBuffer();
        }
    } catch (IOException e) {
        e.printStackTrace();
    } finally {
        if (stream != null) {
            try {
                stream.close();
            } catch (IOException e) {
                e.printStackTrace();
            }
        }
    }

Hope you got some idea...

How can I download a binary file like an mp3 from a server to a client?

To download a file with Java, you can Use URL.openStream();

http://download.oracle.com/javase/tutorial/networking/urls/readingURL.html

Don't print the output to System.out. Write it to a file, instead.

FileOutputStream fos = new FileOutputStreamm(new File("path_to_file.mp3");
int byte;

while ((byte= in.readLine()) != -1)
    fos.write(byte);

Where I have to put my server application? Don't implement a server unless you really have to. Use an http-Server if possile (Tomcat oder Apache HTTPD). Make your file available through HTTP.

If you want to use a Java Server, you should write a Servlet and packkage it into a WAR-File:

http://docstore.mik.ua/orelly/java-ent/servlet/

Give Java NIO a try:

URL website = new URL("http://www.website.com/information.asp");
ReadableByteChannel rbc = Channels.newChannel(website.openStream());
FileOutputStream fos = new FileOutputStream("information.html");
fos.getChannel().transferFrom(rbc, 0, Long.MAX_VALUE);

Using transferFrom() is potentially much more efficient than a simple loop that reads from the source channel and writes to this channel. Many operating systems can transfer bytes directly from the source channel into the filesystem cache without actually copying them.

Check more about it here.

Note: The third parameter in transferFrom is the maximum number of bytes to transfer. Integer.MAX_VALUE will transfer at most 2^31 bytes, Long.MAX_VALUE will allow at most 2^63 bytes (larger than any file in existence).