There is a web site: http://site.domain.com which prompts for credentials with \"windows security\" dialog box. So I managed to use WebBrowser control to navigate to the pag
Not possible, AFAIK. WebClient and WebBrowser use different layers to access web. WebClient uses WinHTTP, WebBrowser uses UrlMon. Thus, they would have separate sessions (including the authentication cache).
That's possible, just use any of UrlMon APIs to download the file, e.g. URLDownloadToFile or URLDownloadToCacheFile. I've just answered a similar question.
On a side note, you don't have to feed in keystrokes to provide authentication credentials. You can implement IAuthenticateEx on WebBrowser site object for this. Here is more info.