In .NET 4.0, the simplest way is to use the ParallelExtensionsExtras's AsycCache along with the DownloadStringTask extension method. In fact, the example for this code covers your exact scenario:
public sealed class HtmlAsyncCache : AsyncCache<Uri, string>
{
public HtmlAsyncCache() :
base(uri => new WebClient().DownloadStringTask(uri)) { }
}
...
HtmlAsyncCache cache = new HtmlAsyncCache();
var page1 = cache.GetValue(new Uri(“http://msdn.microsoft.com/pfxteam”));
var page2 = cache.GetValue(new Uri(“http://msdn.com/concurrency”));
var page3 = cache.GetValue(new Uri(“http://www.microsoft.com”));
Task.Factory.ContinueWhenAll(
new [] { page1, page2, page3 }, completedPages =>
{
… // use the downloaded pages here
});
See here for more details.