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I've been looking into the very same problem today!
It took a few hours of reading and experimentation to understand what happens :)

You can use this snippet (remove the comments, just in case...):

function NextButtonClick(CurPage: Integer): Boolean;
begin
if (CurPage = wpReady) then // This is the page where my downloads start
begin
ForceDirectories(ExpandConstant('{app}')); // This creates the main folder, this is where I download my stuff, customize it for your needs
Result := ISTool_Download(CurPage) // U know ;)
else
Result := True; // At any other page, we just continue
end;