If you're using the command line, perhaps the README may help (example):

Via FTP:
    ftp hgdownload.cse.ucsc.edu 
    user name: anonymous
    password: <your email address>
    go to the directory goldenPath/hg19/phastCons46way

To download multiple files from the UNIX command line, use the "mget" command. 
    mget <filename1> <filename2> ...
    - or -
    mget -a (to download all the files in the directory) 
Use the "prompt" command to toggle the interactive mode if you do not want 
to be prompted for each file that you download.

You'd replace the path with that for your genome build and alignment, then use the mget commands, as described.