great recording! wget is also great for downloading a site(directory) using the '-R' param
(=recursive wget). NOTE: be sure to set the max-level-of-depth else wget can go bananas.

butbut where do you secretly put that downloaded file?

But how do you download multiple files from multiple directories, i.e. all the mp3s or all the pdfs
from a website?

I think with the '-R' parameter (recursive means kindof it will search in any place which links
point to) and the file-type argument. Like with many linux commands: man wget |more
will give you all answer.