For example, see this page Advanced Linux Programming.
I want to download all the
Something on the lines of
download http://www.advancedlinuxprogramming.com/alp-folder *.pdf Downloads/
Have a look at wget
That site specifically says: "Do not use a download accelerator to download these files." so don't!
You could use curl and wget, also check both man pages to see all the handy arguments you could use.