Doing it for the active web page is a little tricky if you didn't create the instance of IE yourself. It that something that can be worked around?
If so then either of these work with IE8. If not post back and we'll work on it

[vba]Option Explicit
Private Declare Function URLDownloadToFileA Lib "urlmon" (ByVal pCaller As Long, _
ByVal szURL As String, ByVal szFileName As String, ByVal dwReserved As Long, _
ByVal lpfnCB As Long) As Long

Public Sub Example1()
DownloadFile "http://www.google.com", "c:\Test\goog.txt"
Shell "notepad.exe ""c:\Test\goog.txt""", vbMaximizedFocus
End Sub

Public Sub Example2()
'Requires reference to Microsoft Internet Controls
Dim ie As SHDocVw.InternetExplorer
'Microsoft HTML Object Library
Dim doc As MSHTML.HTMLDocument
Set ie = New SHDocVw.InternetExplorer
ie.Navigate "www.google.com"
Do Until ie.ReadyState = READYSTATE_COMPLETE
DoEvents
Loop
Do While doc Is Nothing
Set doc = ie.Document
Loop
MsgBox doc.body.innerHTML
ie.Quit
End Sub

Private Function DownloadFile(URL As String, LocalFilename As String) As Boolean
'Thanks Mentalis
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then DownloadFile = True
End Function
[/vba]