This dataset depends on the following independent variable (i.e, grid):
grid: /T (months since 1960-01-01) ordered (0000 16 Nov 1960) to (0000 16 Nov 1961) by 1.0 N= 13 pts :grid
so there will be 13 links below for the different files.
You may want to get a utility like wget which can download sets of files. For example (all one line)
wget -r -l2 -nd --no-parent -e robots=off -v --relative 'http://iridl.ldeo.columbia.edu/SOURCES/.IGOSS/.nmc/.Reyn_SmithOIv1/.monthly/.ssta/%5BY+%5Ddetrend-bfl/%5BX+T+%5Ddetrend-bfl/X+differences/%5BX+%5Ddetrend-bfl/%5BX+Y+%5Ddetrend-bfl/X+integral/yearly-anomalies/Y+integral/Y+partial/Y+differences/Y+differences/%5BX+%5Ddetrend-bfl/T+partial/yearly-climatology/T+integral/downloadsarcinfo.html'
single quotes are necessary in unix to protect the url from expansion; probably necessary in other cases as well