This dataset depends on the following independent variable (i.e, grid):
grid: /T (months since 01-Jan) periodic (Jan) to (Dec) by 1.0 N= 12 pts :grid
so there will be 12 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/Y+differences/T+differences/%5BY+%5Ddetrend-bfl/X+differences/T+partial/Y+differences/%5BY+T+%5Ddetrend-bfl/T+partial/T+partial/yearly-climatology/X+integral/downloadsarcinfo.html'
single quotes are necessary in unix to protect the url from expansion; probably necessary in other cases as well