To download a file over HTTP connection, we normally use download.file command in R, for example:
url = "http://vincentarelbundock.github.io/Rdatasets/csv/datasets/iris.csv"
download.file(url, "iris.csv", quiet=TRUE)
For HTTPS connections, download.file may give you some issues. In situations like this you can consider using the httr package to download files:
library(httr)
url <- "https://rawgit.com/yoke2/dsxref/master/iris.xlsx"
GET(url, write_disk("iris.xlsx", overwrite=TRUE))