> I just get a 404 error
Sort of. Use the .Status property of the "Microsoft.XMLHTTP" object to see if you get an error. If .Status = 200, the image is available, if the .Status = 404 then it is not on the server. Other values can indicate other situations like "unauthorized" (401).
> Is it possible to download the contents of the file into a JPG on my local drive?
Yes. You need to capture it as a binary file. Use "ADODB.Stream" to capture the binary stream and write it to your hd.