You can do it in two steps. In first step, you get the directory listing. Then you parse the text, to extract file names and download each file separately. You need only one class for downloading:
http://msdn.microsoft.com/en-us/library/system.net.httpwebrequest%28v=vs.110%29.aspx[
^]
or even, simpler, you can use the method
http://msdn.microsoft.com/en-us/library/ms144194%28v=vs.110%29.aspx[
^].
Suppose you expect a directory listing at the URL "http://www.someDomain.tld/some/directory/". Downloading with this URL will give you the listing, and the you figure out file name and download them one by one as "http://www.someDomain.tld/some/directory/file1", "http://www.someDomain.tld/some/directory/file2", etc.
Please see my past answers:
get specific data from web page[
^],
How to get the data from another site[
^].
—SA