I had used Win32::IEAutomation(to browse the site,fill forms etc.)
along with Win32::GuiTest to save files from the internet (especially when you get the "Save As" popups).
Here's the actual code that i used to save file:

use Win32::GuiTest('FindWindowLike','SetForegroundWindow','SendKeys','
+PushButton');
my @windows = FindWindowLike(0, "^File Download - Security Warning","#
+32770");
SetForegroundWindow($windows[0]);
PushButton("&Save",1);
SendKeys("%S");
sleep(2);
SendKeys($file);
SendKeys("~");
[download]

For this though, you have to make the IE/Firefox window visible.