Download Web Page

Give Java NIO a try:

URL website = new URL("http://www.website.com/information.asp");
ReadableByteChannel rbc = Channels.newChannel(website.openStream());
FileOutputStream fos = new FileOutputStream("information.html");
fos.getChannel().transferFrom(rbc, 0, Long.MAX_VALUE);

Using transferFrom() is potentially much more efficient than a simple loop that reads from the source channel and writes to this channel. Many operating systems can transfer bytes directly from the source channel into the filesystem cache without actually copying them.

Check more about it here.

Note: The third parameter in transferFrom is the maximum number of bytes to transfer. Integer.MAX_VALUE will transfer at most 2^31 bytes, Long.MAX_VALUE will allow at most 2^63 bytes (larger than any file in existence).

Several tips:

1. Put inserts/updates in a transaction.
2. For older versions of SQLite - Consider a less paranoid journal mode (pragma journal_mode). There is NORMAL, and then there is OFF, which can significantly increase insert speed if you're not too worried about the database possibly getting corrupted if the OS crashes. If your application crashes the data should be fine. Note that in newer versions, the OFF/MEMORY settings are not safe for application level crashes.
3. Playing with page sizes makes a difference as well (PRAGMA page_size). Having larger page sizes can make reads and writes go a bit faster as larger pages are held in memory. Note that more memory will be used for your database.
4. If you have indices, consider calling CREATE INDEX after doing all your inserts. This is significantly faster than creating the index and then doing your inserts.
5. You have to be quite careful if you have concurrent access to SQLite, as the whole database is locked when writes are done, and although multiple readers are possible, writes will be locked out. This has been improved somewhat with the addition of a WAL in newer SQLite versions.
6. Take advantage of saving space...smaller databases go faster. For instance, if you have key value pairs, try making the key an INTEGER PRIMARY KEY if possible, which will replace the implied unique row number column in the table.
7. If you are using multiple threads, you can try using the shared page cache, which will allow loaded pages to be shared between threads, which can avoid expensive I/O calls.
8. Don't use !feof(file)!

I've also asked similar questions here and here.