Copying files from web to phone?
I am using Dropbox and it works fine for me. When you click on a file to see it, Dropbox downloads the content probably in a temp file and it will launch in the right viewer. If you long click an item and select download it will put the file in its own folder on the SD card (SDcard/dropbox) and the file will be available to a file manager such as Astro. If it is not already visible from the gallery application, you can add it by moving the file to the right folder.

I know you already used Dropbox but I would definitely give it another try.