The simplest way is to start FDM, click on the + sign and type the URL. You can copy the URL you want to the clipboard, and it should detect it as well. As for videos, it's more complicated. Youtube and other well-known sites shouldnt be a problem. go to the Video download Tab and just paste the URL (Sorry, my FDM is in Spanish). Anyway, If you are using Firefox, give a try to Download helper 1. It should be of more help, and is by far more versatile for videos, and other media. To download files, still recommend FDM