wget

To download a all files on a page:

$ wget -r -np -l 1  http://dumps.wikimedia.org/enwiki/20150205/

Options:

-r,  --recursive          specify recursive download.
-np, --no-parent          don't ascend to the parent directory.
-nd                       Don't make new directories, put downloaded files in this one
-l,  --level=NUMBER       maximum recursion depth (inf or 0 for infinite).
-A,  --accept=LIST        comma-separated list of accepted extensions.