I don’t want to use an external downloader, wget or any other tool except the macro.
I’d be surprised if this were possible without any external tool.
If I’d write the macro and not want to install an external tool, I’d use EmEditor’s shell.Run(…) command together with Windows Powershell’s Invoke-WebRequest … -OutFile … command.
PowerShell is built into Windows so there should be no need to install it.