One attempt, with a progress bar.

#!/usr/bin/php
<?php
if (@$argv[1] != null){
  echo "Retrieving http header..."; 
  $header = get_headers("$argv[1]");
  $pp = "0";
  echo json_encode($header, JSON_PRETTY_PRINT);
  $key = key(preg_grep('/\bLength\b/i', $header));
  $type = key(preg_grep('/\bType\b/i', $header));
  $http = substr($header[0], 9, 3);
  $tbytes = @explode(" ",$header[type = @explode("/",explode(" ",$header[$type])[1])[1];
  echo " Target size: ".floor((($tbytes / 1000)/1000))." Mo || ".floor(($tbytes/1000))." Kb";
  $t = explode("/",$argv[1]);
  $remote = fopen($argv[1], 'r');
  t[count(type";
  $local = fopen(read_bytes = 0;  
  echo PHP_EOL;
  while(!feof($remote)) {
    $buffer = fread($remote, intval($tbytes));
    fwrite($local, $buffer);
    $read_bytes += 2048;
    $progress = min(100, 100 * $read_bytes / $tbytes);
    $progress = substr($progress,0 , 6) *4;
    $shell = 10; /* Progress bar width */ 
    shell * $progress / 100;
    echo " \033[35;2m\e[0m Downloading: [".round($progress,3)."%] ".floor((($read_bytes/1000)*4))."Kb ";
    if (shell){$pp=0;};
    if ($rt === $shell){$rt=0;};
    echo str_repeat("█",$rt).str_repeat("=",($pp++)).">@\r";
    usleep(1000);
  }
  echo " \033[35;2m\e[0mDone [100%]  ".floor((($tbytes / 1000)/1000))." Mo || ".floor(($tbytes/1000))." Kb   \r";
  echo PHP_EOL;
  fclose($remote);
  fclose($local);
}

The file is build directly into the current folder, not in the temp directory. This mean the file can be read while downloading. If the file type is made to handle that, like most media format do.

To use, pass an url as first argument in the command line.

./pget  https://site.download.mp4

You know you want to tweek it ;)

Use the Dotdeb Debian stable packages. Although the documentation does not note this, the stable packages currently work fine with Wheezy/testing. After following the instructions, do:

apt-get install php5-cli

as root.

Did you get your version of PHP from? http://windows.php.net/download/ I've just downloaded the ZIP from there and it contained php-win.exe

Check you've not accidentally downloaded the php source