If the CALL supported similar feature as COPY then you could avoid any explicit save.
But a small batch file (or alias) like this would do the trick:
copy %URL %TEMP%\%1 /e
iff exist %TEMP%\%1 then
*del %TEMP%\%1 /q/e
echo %URL% not found or download error
If you then had a batch file called mycoolbatchfile.cmd then you would use the following command to run it:
I did a quick test of this, and it worked OK for me.