This isn't the easiest way, but I've used wget, which is a traditional utility for this purpose. It's command line only, but there must be some GUI tool to do what you want somewhere.
http://freecode.com/projects/wget
You have to figure out the options, like level of recursion etc., but I was able to download an entire archive of radioplays from a website.
Here's a sample command line I came up with:
Code:
wget -nd -t 0 -T 15 "http://movies.apple.com/movies/fox/avatar/avatar2009aug0820a-tsr_h1080p.mov" -U "QuickTime/7.6 (qtver=7.6;os=Windows NT 6.0Service Pack 1)" --header "Host: movies.apple.com"
You could also try flashget.
It will grab all files off one page.