Here's one approach, though it's hard to say without knowing the site and what additional information you want for the files.
Import["http://kaurov.com", {"HTML", "Images"}]

There are several other items you can ask for (including what elements you can ask for!)
In[53]:= Import["http://kaurov.com", {"HTML", "Elements"}]
Out[53]= {"Data", "FullData", "Hyperlinks", "ImageLinks", "Images",
"Plaintext", "Source", "Title", "XMLObject"}
In[54]:= Import["http://kaurov.com", {"HTML", "ImageLinks"}]
Out[54]= {"http://kaurov.com/wordpress/wp-content/uploads/2011/10/masterimagelfss.jpg",
...
"http://kaurov.com/wordpress/wp-content/uploads/2009/11/life-death-spinner.gif"}
Run. – Mike Honeychurch Jan 22 '12 at 22:43