It'd help if you posted what you tried, even if it doesn't work, because it'd give us a better idea of what you're thinking than simple English prose.

Have you tried writing $page to your file?

my $ua = LWP::UserAgent->new;
$ua->proxy('http', $proxyname);
my $req = HTTP::Request->new('GET', $url);
my $page = $ua->request($req)->content;
open my $fh, '>', $filename or die "Can't write to $filename: $!";
binmode $fh; # required on Windows, OS/2, DOS; doesn't hurt anywhere e
+lse
print $fh $page;
close $fh;
[download]

(Calling binmode is only one way to do that piece of work.) If this isn't what you mean, I'd need more insight into what you're trying to do.