I know of no native 3dgs command that could donwload files online
and copy them into the folder.
You would have to write a dll, that can download and copy files.
So before a levelchange, the dll command downloads the file, stores
it in the required directory, and then gives back a variable to
3dgs, that indices that it is ready (or how many % are done).

Then the skript does the levelload.

You need at least the acknex files, the dll, and all the skripts in
the starting client.

Talk to a C++ dll programmer with knowledge about internet-filetransfer for this.