Dim WithEvents FileDownload As New clsFileFownload
Private bFinished As Boolean

ReDim sMyFiles(10) As String
 
sMyFiles(0) = "http://www....."
sMyFiles(1) = "http://www..."
...
sMyFiles(10) = "http://www..."
 
Dim i As Integer
 
For i = 0 To UBound(sMyFiles)
  bFinished = False 
  Do
    FileDownload ...
  Loop Until bFinished
Next i

Private Sub FileDownload_Finished()
  bFinished = True
End Sub