Writing Programs that download pdfs from a webpage

I was wondering if someone could point me in the write direction how to get started with something like this. I am at university and at the start of each class I'd like to download all the lectures (which are PDF's or PwPts) and put them in some folder on my computer and avoid having to click and save them a million times.

I know python pretty well and have used API's some time ago to get data from map quest. I know I do something along the lines of

urllib.open([WEBSITE URL]) 

and then worry about parsing the data. But I don't really know where to go from here. My hunch is that you need to follow the url's of the pdfs and then download the data for those. I don't know, but I figured there must be a way to do this. Any help is much appreciated.

Also I am not really sure what to tag this question as so any advice on that would be helpful.

**Also, also, I wonder if there is a way to generalize this problem. That is, given to inputs, website_url, filetype, program returns the data of all the file types listed on that webpage.