Wget

wget is one of those tools you should really learn. But learning it isn't hard. This is how I use it:

$ wget <url>

This will fetch the url--through FTP or HTTP or whatever--and drop it in the current directory.

Sure, there are more advanced options, but unless you are trying to mirror a website, forget about them.

By the way, I prefer using wget than Firefox's download mechanism. It's just so much easier to type out paths than click them out.