wget is a command to mirror/crawl the web.
An often used command is to grab everything from the specified node:
wget -r -l 0 http://www.example.com/
For the simple but recurrent and possibly annoying problem of downloading attachments from a file, use --domains to restrict to sections you are interested in would they be on a different host while still avoiding to mirror the full internet. For example, the following downloads Guillemin's conferences from a page that also refers to [www.rts.ch www.rts.ch], which you don't want to touch:
wget --recursive --level=10 --convert-links -H --domains=www.byblios.fr http://www.ecosynchro.org/henri-guillemin-mp3.php