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).

Don't use a FileWriter - that's trying to convert the data into text.

Just use FileOutputStream.

byte[] buffer = new byte[8 * 1024];

InputStream input = urlConnect.getInputStream();
try {
  OutputStream output = new FileOutputStream(filename);
  try {
    int bytesRead;
    while ((bytesRead = input.read(buffer)) != -1) {
      output.write(buffer, 0, bytesRead);
    }
  } finally {
    output.close();
  }
} finally {
  input.close();
}