Now files will be saved with whatever name is provided by the server.

This is a dirty hack. I need to a do an HTTP HEAD to get the file
info, set everything up, then do an HTTP GET to really download the
file. Ideally we would just do a GET and perhaps use the header
callback to set everything up before we begin to recieve data. I think
I tried this, but something got in the way. Maybe I'll mess with it
again later.