Uhm, wouldn't downloading be transferring data to your Amiga?
Anyway with 3.5 you can get online.
And to compare it to 3.9 (topic title but nowhere in the post?); that has an TCP stack as well.
Difference:
OS3.5 has a time limited version of Miami and 3.9 a full (illegal) version of Genesis.
These are for using the TCP protocol!! You also need a browser. I know that OS3.9 comes with AWeb SE but don't know about 3.5...