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