you need to get a program called eMule, or eDonkey. search on google and get the site, cuz i can't remember what it is. Once you have that program, leave it running and go to the site. Sign up for an account there because they won't let you download without one. Once you find the anime you want to download, find it's page, and at the bottom there's a list of all the episodes for that anime. look for an ed2k-link and click on it. the episode you chose will automatically be added to your download list on eMule. there's a more complete guide at:
http://anidb.ath.cx/help/own-mylist/main.htm