You can download them using WebClient
or WebRequest
to get the raw bytes.
You can then save to isolated storage fairly easily - but I don't believe you can save in any location seen by the Picture hub, if that's what you were aiming for. (I can't see anything in the Microsoft.Phone.Tasks namespace which would be relevant. There are tasks to capture the camera of choose a photo, but not to save one.)
EDIT: Ooh, I've just found a way. You can use the MediaLibrary class and its SavePicture method... although that's in XNA, so I'd at least have concerns about it working from a Silverlight app. I know some bits of the XNA API do work from Silverlight, and some don't. Worth experimenting with.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…