First, putty is only for telnet, rlogin and ssh.. all of them are used to control the remote host.
where do you want to download stuff to and what are your download method (ftp? http?)????
to download with ftp in command line:
username and password
bin #binary mode
get <file name> #download the file into current directory you are in
to download using http
use text base web browser, eg. lynx
or use wget -c <the address>
hope that will hep...
remember, putty is for controling remote host, what ever you download, it will download to the remote host.