HTTP doesn't really have a notion of directories. The slashes other than the first three (
http://example.com/) do not have any special meaning except with respect to
.. in relative URLs. So unless the server follows a particular format, there's no way to “download all files in the specified directory”.
wget -r http://example.com/, and look under “Recursive Retrieval Options” and “Recursive Accept/Reject Options” in the wget manual for more relevant options (recursion depth, exclusion lists, etc).
If the website tries to block automated downloads, you may need to change the user agent string (
-U Mozilla), and to ignore
robots.txt (create an empty file
example.com/robots.txt and use the
-nc option so that wget doesn't try to download it from the server).