To WillJS: I wouldn't know where, maybe just google for shell unix/mac os x commands? Basically, Terminal is another way to interact with the OS, that might give you more flexibility besides what is built in to the Finder. I actually learned my way around like 12 years ago when I had to interact with some Unix terminals out of necessity. I think the best way is to know what exactly you want to do, and then search a way to do it with a shell
Also, I would advise only using it when there is an actual need; you can get along with just the Finder 99% of the time.
Back on topic:
the first time you only put the address, thats why it gave you an error.
Second time, it downloades a file (you should be able to see it on your home folder), but judging by the size that was a failed attempt.
As can be seen on the third attempt, where it states it didn't find the file.
On closer examination, the path of the URL is only complete on the first attempt; afterwards it just says "applica...bstop_(etc)". Can you try again, repeating the second and third attemps but making sure you put the complete URL in there? I don't know why it did that, though.
EDIT: by the way, you might want to just copy and paste the results from the terminal, instead of showing all of your "legally ripped" collection of movies