I found this tip purely by accident (not sure if it's already been covered). I was trying to download the latest Quicksilver update in Omniweb 5, but for some reason, OW5 doesn't like the .cpgz extension very much and the browser doesn't do much except report an error.
In desperation I copied the URL to the clipboard and opened OmniWeb 5's Download window. I then hit Command-V (Paste), and the URL appeared in the Download window and started to download the update without any problem.
I've tried this with a couple of other files and they seem to work fine too.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20041011050753443