The best solution is to use wget.
For information regarding how to use? see -
http://en.wikipedia.org/wiki/Wget
If wikipedia is not sufficient use - man wget.
I have used this on Linux and on Cygwin (on windows).
wget is also available directly on windows -
1. Setup is available here -
http://gnuwin32.sourceforge.net/packages/wget.htm
2. wget is avaible with GUI for windows -
http://sites.google.com/site/jackparke/wgetgui
or
http://sourceforge.net/projects/wget-gui-kiwi/
