How to write a python script for downloading?

I looked at the page. The links seem to redirect to another page, where the file is hosted, clicking which downloads the file.

I would use mechanize to follow the required links to the right page, and then use BeautifulSoup or lxml to parse the resultant page to get the filename.

Then it's a simple matter of opening the file using urlopen and writing its contents out into a local file like so:

f = open(localFilePath, 'w')
f.write(urlopen(remoteFilePath).read())
f.close()

Hope that helps