i got it to work with PHP4 when i compiled it with Apache. so i guess it doesn't worth when you install php as cgi.
an alternative i'm using right now is with lynx, eg:
lynx -source http://www.php.net > source_file
this is good cuz it handles redirects, missing /'s at the end, which fopen doesn't.
it is a bit slow tho. takes 3-4 seconds to dump to a file, but that's probably cuz its tcp/ip with lynx, i'm sure php's fopen/fread isn't much better, tho slightly.
.joel