Hey Stephane,
Too easy!
Download the ".sh" file from the 'JWST AWS Bulk Download Scripts' page for the data set you are interested in. It's a Unix script file (plain text, nothing fancy), so you can open it with NotePad - maybe save the file with a '.txt' extension to make it easier.
There are a bunch of lines that look like this:
Code:
cat <<EOT
<<< Downloading File: https://stpubdata-jwst.stsci.edu/ero/jw02731/jw02731001003/jw02731001003_02105_00001_nrca1_i2d.fits
To: ./jw02731/jw02731001003/jw02731001003_02105_00001_nrca1_i2d.fits
EOT
curl --globoff --progress-bar --create-dirs -C - --output ./jw02731/jw02731001003/jw02731001003_02105_00001_nrca1_i2d.fits 'https://stpubdata-jwst.stsci.edu/ero/jw02731/jw02731001003/jw02731001003_02105_00001_nrca1_i2d.fits'
Look at the end of the line starting with 'curl --globoff...' and then simply cut-n-paste the URL (without the single-quote marks) into your browser or download manager and away you go.
Just make sure you have LOTS of free disk space.
Cheers,
V