Wait, i think i might see your problem, i was just reading:
http://www.mathworks.com/access/helpdesk/help/techdoc/matlab_external/ch_jav17.shtml#15351

Is matlab a separate language that you are interacting with java classes from?  
In other words were you putting this loop into the matlab code?

    // read off the inputstream into the filewriter
    while((charsread = in.read(cbuf)) != -1) {
        out.write(cbuf,0,charsread);

Why don't you create a separate object (wget or something) to read and write 
the URL, and import that object into matlab.  then you could just call 
wget.fetchURL("filename"); 

I was gonna write an example for you, but some french guy already did it:
  http://koala.ilog.fr/plh/generator/wget.html

Of course, it's a lot more complicated than it needs to be, and it writes 
stdout instead of a file, but hey.

If you want, i could still write a better sample object for you tho.
-Lkb
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