The best way in the long run would be to get a modem that works under linux, however you can just download things to your C: drive under Windows and get those file from linux.
Linux will mount your Windows partition the same way it does a linux one. Assuming that you had a c: partition as /dev/hda1 and the rest of the disk containing your linux (or other) partition(s) you could just type the following (as root).
mount /dev/hda1 /someDir
All of your Windows files are now magically available under Linux by going to the /someDir directory
This relies on vfat support being in your kernel, it probably is already. You might need to tell it what the partition type is, if you get this moan then try
mount -t vfat /dev/hda1 /someDir
If you want to mount your Windows partition everytime you boot have a look at /etc/fstab the format is dead simple to follow, the worst you can do by adding a naff line is get an error message at startup, just don't trash the existing lines - things will quickly stop working!