flashgot can do it
it automatically scans the HTML code for all files (pics,video,etc.) and you set it up to filter by file extension, and then it will automatically export the cue list to your chosen downloading program
it's a bitch to setup, tho
i usually just use DTA! it's not as automatic, but it's a lot easier to use
also keep in mind a lot of websites protect against leeching programs of any sort, and if you try and use a download manager, you just get a 404 error, and it can't download, or it gets a fake header, and downloads some dummy file.
about the only program i've found to download programs like this is called internet download manager, and it's a HUGE pain in the ass.
it catches not only files you've selected, but also imbedded fiels, and is CONSTANTLY popping up, and asking you where you want to save stuff, even when there's nothing you wanted to download!