Hi,
you can't do that directly but you can download it to a directory to on the server and send it to your client station within the script.
Download it to your server and then send the file with header calls and readfile to your browser.
You can send it to your browser with e.g.
header("Content-type: application/octet-stream");
header("Content-disposition: attachment; filename=\"$filename\"");
@readfile($thefile);
You might have to test if you can delete the file after readfile() to prevent that the files remain on the server.
You might need to use application/force-download or application/RFC822 depending on your browser.