I think you cannot do this using Zend_File_Transfer_Adapter_Http, as this only works with downloaded files. However, you can use this Zend_Http_Client. For instance:
$c = new Zend_Http_Client();
$c->setUri('http://zendguru.files.wordpress.com/2009/04/ajax-form1.jpg');
$result = $c->request('GET');
$img = imagecreatefromstring($result->getBody());
imagejpeg($img,'img/test.jpg');
imagedestroy($img);
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