Hello Reb,
What you can do is Go to Tools->Task Editor and in task editor use 'Download File' command under 'Web Recorder' category . Provide the file URL and the location you want to save the file at and the valid filename with extension. This way you can directly download the file without any screen activity.
I'm sending you a sample task in attached zip file that downloads Workspace Macro 4.6 and saves it on c:\ as WM.exe.
This feature is provided in AA 3.5.
You can upgrade to AA 3.5 from 2.5 from the following link
http://www.tethyssolutions.com/aa-paid-upgrade.htm
Hope that helps