The standard way I download files (say, foo.tar.gz) is
$ wget http://some.domain.com/foo.tar.gz
You can also use it with ftp.
Sometimes the machine doesn't have wget. Other utilities will do the trick.
$ curl -O http://name:password@some.server.com/foo.tar.gz
curl -T test.txt ftp://uname:pwd@myserver/mydir/