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.
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:
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.