If I want to save a web hosted file on Google drive, I have to download it to my PC then upload it to Google Drive. Google has now released a simple code snippet developers can add to their sites which will allow users to download files directly to their Google Drive (called "Save to Drive").

<script src="https://apis.google.com/js/plusone.js"></script>
<div class="g-savetodrive"
 data-filename="My Statement.pdf"
 data-sitename="My Company Name"
 data-src="/path/to/myfile.pdf">
</div>

Read the Google blog post here.