OK, I think I know the problem. It's the same issue I had when I coding a
similar command line app that needed to stay loaded while listening for
events.

What's happening is that when you run the windows forms version the form
keeps the application loaded in memory, and so the handler can receive the
events correctly. When you run the command line version (without calling the
form), the application will run through and start off the asynchronous file
download, but then the app will finish and close (as there is nothing
keeping it open).

I'm not sure what the best option for this is. You could either:

1) Add a Console.ReadLine() statement at the bottom of your sub main:

Module Module1
   Public Sub Main(ByVal ParamArray args() As String)
       If args.Length > 0 Then
           Dim o As New Class1
           o.GetFile()
       Else
           Dim f As New Form1
           f.ShowDialog()
       End If
       Console.ReadLine()
   End Sub
End Module

Which will keep it alive until the user hits return, or

2) Add some kind of loop which will check a global variable that gets set
when the file has downloaded (set in your async. function):

Module Module1

   Private _blnDownloadFinished As Boolean

   Public Property DownloadFinished() As Boolean
       Get
           Return _blnDownloadFinished
       End Get
       Set(ByVal value As Boolean)
           _blnDownloadFinished = value
       End Set
   End Property

   Public Sub Main(ByVal ParamArray args() As String)

       If args.Length > 0 Then
           Dim o As New Class1
           o.GetFile()
       Else
           Dim f As New Form1
           f.ShowDialog()
       End If

       While _blnDownloadFinished = False
           Threading.Thread.Sleep(5000)
       End While

   End Sub

End Module

Class1.vb:
   Public Sub DownloadCompleteCallback(ByVal sender As Object, ByVal e As
AsyncCompletedEventArgs)
       WriteMessage("DownloadCompleteCallback")
       Module1.DownloadFinished = True
   End Sub

This example is a bit dirty and doesn't check to make sure the file download
is going OK, etc, so you'll have to play with it a bit.