This dataset depends on the following independent variable (i.e, grid):
grid: /Z (m) ordered [ (0.0) (10.0) (20.0) (30.0) (50.0) (75.0) (100.0) (125.0) (150.0) (200.0) (250.0) (300.0) (400.0) (500.0) (600.0) (700.0) (800.0) (900.0) (1000.0) (1100.0) (1200.0) (1300.0) (1400.0) (1500.0) (1750.0) (2000.0) (2500.0) (3000.0) (3500.0) (4000.0) (4500.0) (5000.0) (5500.0)] :grid
so there will be 33 links below for the different files.
You may want to get a utility like wget which can download sets of files. For example (all one line)
wget -r -l2 -nd --no-parent -e robots=off -v --relative 'http://iridl.ldeo.columbia.edu/SOURCES/.NOAA/.NODC/.WOA01/Grid-1x1+.Annual+.sd+.o2sat/downloadsarcinfo.html'
single quotes are necessary in unix to protect the url from expansion; probably necessary in other cases as well