wget is a hugely useful program. You give it a URL and it goes and fetches it and saves it to disk. There's a ton of other options (spider a whole site, pretend to be a different browser, fetch all the URLs in a list in a file, delay fetches a certain or random number of seconds, etc) but that's the basic idea.
Anyway, I just needed to retrieve a file which was protected. It was a phone post on a friend's LiveJournal, which was friends-locked-- so, if you simply attempt to wget the URL you get a "forbidden" error, because it doesn't know who you are. Assuming you use Firefox, and you're logged into LJ, this is how to tell it:
wget --load-cookies ~/.mozilla/firefox/some-weird-string.default/cookies.txt http://username.livejournal.com/data/phonepost/xyz.ogg
some-weird-string will be different for everyone, but always the same for you. ls ~/.mozilla/firefox to find out what it is.
I was amused that this resulted in a redirection to a URL ending ...Thanks+for+ signing+in+ /+LiveJournal+loves+you +a+lot+/ +Here+have+a+cookie.