Using Async task

call when you want to download file : new DownloadFileFromURL().execute(file_url);

public class MainActivity extends Activity {

    // Progress Dialog
    private ProgressDialog pDialog;
    public static final int progress_bar_type = 0;

    // File url to download
    private static String file_url = "http://www.qwikisoft.com/demo/ashade/20001.kml";

    @Override
    public void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);

        setContentView(R.layout.activity_main);

        new DownloadFileFromURL().execute(file_url);

    }

    /**
     * Showing Dialog
     * */

    @Override
    protected Dialog onCreateDialog(int id) {
        switch (id) {
        case progress_bar_type: // we set this to 0
            pDialog = new ProgressDialog(this);
            pDialog.setMessage("Downloading file. Please wait...");
            pDialog.setIndeterminate(false);
            pDialog.setMax(100);
            pDialog.setProgressStyle(ProgressDialog.STYLE_HORIZONTAL);
            pDialog.setCancelable(true);
            pDialog.show();
            return pDialog;
        default:
            return null;
        }
    }

    /**
     * Background Async Task to download file
     * */
    class DownloadFileFromURL extends AsyncTask<String, String, String> {

        /**
         * Before starting background thread Show Progress Bar Dialog
         * */
        @Override
        protected void onPreExecute() {
            super.onPreExecute();
            showDialog(progress_bar_type);
        }

        /**
         * Downloading file in background thread
         * */
        @Override
        protected String doInBackground(String... f_url) {
            int count;
            try {
                URL url = new URL(f_url[0]);
                URLConnection connection = url.openConnection();
                connection.connect();

                // this will be useful so that you can show a tipical 0-100%
                // progress bar
                int lenghtOfFile = connection.getContentLength();

                // download the file
                InputStream input = new BufferedInputStream(url.openStream(),
                        8192);

                // Output stream
                OutputStream output = new FileOutputStream(Environment
                        .getExternalStorageDirectory().toString()
                        + "/2011.kml");

                byte data[] = new byte[1024];

                long total = 0;

                while ((count = input.read(data)) != -1) {
                    total += count;
                    // publishing the progress....
                    // After this onProgressUpdate will be called
                    publishProgress("" + (int) ((total * 100) / lenghtOfFile));

                    // writing data to file
                    output.write(data, 0, count);
                }

                // flushing output
                output.flush();

                // closing streams
                output.close();
                input.close();

            } catch (Exception e) {
                Log.e("Error: ", e.getMessage());
            }

            return null;
        }

        /**
         * Updating progress bar
         * */
        protected void onProgressUpdate(String... progress) {
            // setting progress percentage
            pDialog.setProgress(Integer.parseInt(progress[0]));
        }

        /**
         * After completing background task Dismiss the progress dialog
         * **/
        @Override
        protected void onPostExecute(String file_url) {
            // dismiss the dialog after the file was downloaded
            dismissDialog(progress_bar_type);

        }

    }
}

if not working in 4.0 then add:

StrictMode.ThreadPolicy policy = new StrictMode.ThreadPolicy.Builder().permitAll().build();
StrictMode.setThreadPolicy(policy); 

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).

You are declaring DownloadFile object but not initializing it.

private DownloadFile df;
df.Download(); // Throws NPE

Don't forget to initialize it.

private DownloadFile df = new DownloadFile();
df.Download();

EDIT:

Now you initialised the object and avoided NPE but this time you are getting a NetworkOnMainThreadException. After Honeycomb version, Android does not allow you to do network operations on main thread. You can use an AsyncTask to overcome this.