I'm not 100% sure how you mean. Are the files in a mounted share (e.g. over afp, smb) or are you getting at them over http (e.g. downloading them from a website).
Either way, using a shell command is probably going to be the best bet.
Yup, if you're downloading over HTTP then curl is a sensible way forward as suggested above. If it's a share you have mounted then you can do it like this: