You can just start it, but what will happen then is your default browser will open and it will download the file. And depending on the local settings on that machine it will do the default thing.
I would not recommend this method, it means the end user will have to do alot of extra steps. And the different browsers behave differently, and may not obey windows file extentions ( thing firefox )
If your doing this inside a application you should download it yourself, you can read about that here. .NET Frameworks offers great solutions to download the file yourself.
Also if you do it via Proccess you will not get a refere when downloading, some sites may then block you to stop hot linking. but if you control the download class you can send a refere url