How to download a file through an SSH server?

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http://unix.stackexchange.com – I have a server in USA (Linux box B), and my home PC (Linux box A), and I need download a file from website C, The issue is, it is very slow to download a file direct from A, so I need download the file when I log in B, and sftp get the file from A. Is there any way that I can download file and use B as proxy directly through only one line command? (HowTos)