wget and curl are two programs commonly used in command line in Linux, but they can also be used in Windows.
Once you know how, it becomes really simple. The caveat is that sometimes it requires a click and paste.
1. Install cliget addon for firefox
2. If you want to use "wget" you don't have to do anything. If you want to use "curl" go to about:config in firefox and change cliget.wget to false and cliget.curl to true
3. Using your firefox browser navigate to the page were there is a link to the content you want to retrieve or the page itself that you want to retrieve. Right click over the link or the page and select "copy curl/wget for link" or "copy curl/wget for page".
4. Go to the command line and paste
And you shall get the content you asked for, via command line.
Note that you can run that command on ANY computer, not just the computer you were running Firefox on. The cookies and session ids are normally temporal, so they will be valid for a while only.
Note as well that with curl you can use wild-cards. Example: http://myweb.com/img[0-23].jpg