Well,
Do you want to do it in the elegant way? Get yourself a Catweasel floppy controller. With it, you'll do exactly what you intend to: you'll download an ADF, you'll transfer it to a floppy, and you'll boot that floppy on the Amiga.
The problem: price.
Another solution is something in the sort of PC2AMIGA software package, that allows you to access PC drives from the Amiga as if those were the Amiga's own (disk sharing), over a serial or a parallel cable. Then, once the ADF has been transfered to the Amiga you'll have to source some software to write the file into a floppy. If you have a bare A500, with no hard disk, then this solution can be very inconvenient.
