A project I'm working on involves storing asset references in a database and then later downloading the images. Why? because it takes bloody ages!
So assuming you have a table called Assets, and all the right fields. There's two options, using cfhttp or cfimage (cf8+).
<cfset pathToActualImage = "http://www.google.com/images/hello.jpg" />
<cfset tempFileName = "test.jpg" />
<cfset tempPath = "C:\temp\" />
<cfhttp url="#pathToActualImage#" file="#tempFileName#" path="#tempPath#">
Or
<cfimage action="write" destination="#tempFileName##tempPath#" source="#pathToActualImage#" />
I'd recommend to maybe use cfimage because