Shoutbox

Hi I was just wondering, is it possible to make a plugin that let's you use Save target as in a link that you recieve.

What I mean is that if someone gives me a link to an .avi file, that I can download and save it from the convo window without adding the link into my download accelerator or opening it in my browser and waiting until the whole file loads. In theory the same function as what you can do with an url in explorer.

Can this be done?