If the data available through a standard web address, like...

http://www.website.com/file.txt

...WGET is probably the easiest way to download the data to your local machine: https://www.harrisgeospatial.com/docs/WGET.html

Alternatively, you can use the IDLnetURL object. While it is more configurable, it is also more complicated, unnecessarily so in many cases: https://www.harrisgeospatial.com/docs/IDLnetURL.html