err... I think you're confusing local and server filenames. If you have the URL to a file on a server, then that URL already contains the exact filename. How else, after all, could the server know what it should send to the user? When you download http://example.org/foo/bar.baz
, the file 'bar.baz' will be downloaded to your computer. The name you give it locally, on your computer, is entirely up to you.
I never used inetc, but I would expect that, by default, it saves a file to its own name. So $INSTDIR\bar.baz, to follow the above example.