If there are links to audio files, the way to download them is to right click them and save target as. Then save it to a folder on the PC you are using.

Lets say its not that easy. One way to see all of the links to mp3 files or image files that are connected to a web is to view that pages source. An image background on a web page cannot be right clicked and downloaded very easily.

Follow up:

To do this in Firefox, right click any white space on the web page, then left click "View Page Source". This will give you all of the HTML script for the web page. In this page you can find files by the keys (ctrl + F). Search for mp3, jpg, png, or any file that you are trying to find.

You will a see link to the file. For example, if you see "images/logo.png" then type in the address like this: "http://www.awebsite.com/images/logo.png".

Lets say that you are on a social networking website. Some music files my be located in a database that can only be access through a flash function on the website. It is nearly impossible to get this file. However, there are programs that can record everything that a computer outputs in sound. If you play the songs all the way, you can record the music.

Keep in mind that some files are illegal to download. Some images and mp3 files are copyright.