Download a file with Android, and showing the progress in a ProgressDialog

import android.os.PowerManager;
import java.io.InputStream;
import java.io.OutputStream;
import java.io.FileOutputStream;
import java.net.HttpURLConnection;

// declare the dialog as a member field of your activity
ProgressDialog mProgressDialog;

// instantiate it within the onCreate method
mProgressDialog = new ProgressDialog(YourActivity.this);
mProgressDialog.setMessage("A message");
mProgressDialog.setIndeterminate(true);
mProgressDialog.setProgressStyle(ProgressDialog.STYLE_HORIZONTAL);
mProgressDialog.setCancelable(true);

// execute this when the downloader must be fired
final DownloadTask downloadTask = new DownloadTask(YourActivity.this);
downloadTask.execute("the url to the file you want to download");

mProgressDialog.setOnCancelListener(new DialogInterface.OnCancelListener() {

    @Override
    public void onCancel(DialogInterface dialog) {
        downloadTask.cancel(true); //cancel the task
    }
});

// usually, subclasses of AsyncTask are declared inside the activity class.
// that way, you can easily modify the UI thread from here
private class DownloadTask extends AsyncTask<String, Integer, String> {

    private Context context;
    private PowerManager.WakeLock mWakeLock;

    public DownloadTask(Context context) {
        this.context = context;
    }

    @Override
    protected String doInBackground(String... sUrl) {
        InputStream input = null;
        OutputStream output = null;
        HttpURLConnection connection = null;
        try {
            URL url = new URL(sUrl[0]);
            connection = (HttpURLConnection) url.openConnection();
            connection.connect();

            // expect HTTP 200 OK, so we don't mistakenly save error report
            // instead of the file
            if (connection.getResponseCode() != HttpURLConnection.HTTP_OK) {
                return "Server returned HTTP " + connection.getResponseCode()
                        + " " + connection.getResponseMessage();
            }

            // this will be useful to display download percentage
            // might be -1: server did not report the length
            int fileLength = connection.getContentLength();

            // download the file
            input = connection.getInputStream();
            output = new FileOutputStream("/sdcard/file_name.extension");

            byte data[] = new byte[4096];
            long total = 0;
            int count;
            while ((count = input.read(data)) != -1) {
                // allow canceling with back button
                if (isCancelled()) {
                    input.close();
                    return null;
                }
                total += count;
                // publishing the progress....
                if (fileLength > 0) // only if total length is known
                    publishProgress((int) (total * 100 / fileLength));
                output.write(data, 0, count);
            }
        } catch (Exception e) {
            return e.toString();
        } finally {
            try {
                if (output != null)
                    output.close();
                if (input != null)
                    input.close();
            } catch (IOException ignored) {
            }

            if (connection != null)
                connection.disconnect();
        }
        return null;
    }

@Override
    protected void onPreExecute() {
        super.onPreExecute();
        // take CPU lock to prevent CPU from going off if the user 
        // presses the power button during download
        PowerManager pm = (PowerManager) context.getSystemService(Context.POWER_SERVICE);
        mWakeLock = pm.newWakeLock(PowerManager.PARTIAL_WAKE_LOCK,
             getClass().getName());
        mWakeLock.acquire();
        mProgressDialog.show();
    }
    
    @Override
    protected void onProgressUpdate(Integer... progress) {
        super.onProgressUpdate(progress);
        // if we get here, length is known, now set indeterminate to false
        mProgressDialog.setIndeterminate(false);
        mProgressDialog.setMax(100);
        mProgressDialog.setProgress(progress[0]);
    }

    @Override
    protected void onPostExecute(String result) {
        mWakeLock.release();
        mProgressDialog.dismiss();
        if (result != null)
            Toast.makeText(context,"Download error: "+result, Toast.LENGTH_LONG).show();
        else
            Toast.makeText(context,"File downloaded", Toast.LENGTH_SHORT).show();
    }
}

<uses-permission android:name="android.permission.WAKE_LOCK" />