Your biggest problem is you're using a posix-style path (using slashes) when you should be using a mac-style path (with colons). Applescript uses colon delimited paths. We can convert between the two using "posix path" to go from colons to slashes and "posix file" to go from slashes to colons.
And you can't just pass the path as a string. In applescript we use file specifiers... which is why I put the word file in front of the string path. So this works once we fix that.
set posixPath to "/Users/abc/Downloads/02331_veiledinclouds_2560x1600.jpg"
set macPath to (POSIX file posixPath) as text
tell application "URL Access Scripting"
download "http://interfacelift.com/wallpaper_beta/grab/02331_veiledinclouds_2560x1600.jpg" to file macPath
end tell
However, there must be a filename length issue because when I run it the filename of the downloaded file is shortened to 31 characters.
EDIT:
Here's a script to truncate, download, and rename the file if necessary.
set posixPath to "/Users/abc/Downloads/02331_veiledinclouds_2560x1600.jpg"
set baseName to do shell script "/usr/bin/basename " & quoted form of posixPath
set needsRenaming to false
if (count of baseName) is greater than 31 then
set downloadName to text -31 thru -1 of baseName
set basePath to do shell script "/usr/bin/dirname " & quoted form of posixPath
set posixPath to basePath & "/" & downloadName
set needsRenaming to true
end if
set macPath to (POSIX file posixPath) as text
tell application "URL Access Scripting"
download "http://interfacelift.com/wallpaper_beta/grab/02331_veiledinclouds_2560x1600.jpg" to file macPath
end tell
if needsRenaming then
tell application "Finder"
set name of file macPath to baseName
end tell
end if