You should be able to just click it in the browser and store it to disk (an option menu should pop up).

Or from an xterm:
Check if 'curl' is installed. It's on mine, so it's probably in one of the common repositories.
Then: curl http://url/filename -o destination_path/filename
(if you cd to the destination path (e.g. SD card) then just -o filename)

There's also 'wget' which works as curl but you don't have to specify -o, just cd to target directory first. But you will have to hunt around a bit to find 'wget' (it's not on my N800)