Here's a cool plugin for Firefox (it can also be used with the mozilla browser) that lets you download everything or even selective links on your current web page. You can download it by clicking on the logo on the right side of this text. I, for example, use it quite often to download 'All the PDF and DOC files' on my web page. Comes in quite handy when you get tired of doing right click and "Save Links As ...". Here are some screenshots and a link on obtaining the source code.
However, one enhancement it could would be to show the download progresss in the firefox download window as against a seperate window that it shows currently. That way i can pause/resume or even cancel one or more of the downloads.