http get from the shell in Mac OS X
wget http://example.org/file.mp3
(you might need to install it e.g. using Homebrew, MacPorts or Fink -- assuming you're still on Mac OS X)
Alternatively, you can use curl, which is standard on Mac OS X:
curl http://example.org/file.mp3 > local_filename.mp3
Wget and curl may be not installed on some Unix-like system's by default. But you also can use: fetch http://example.org/file.mp3
it save response to the current directory with URL filename. To change see man fetch