It depends on what you're trying to download. if you're trying to install something, then every OS usually has its own commands for downloading and installing: yum, apt-get, pacman, whatever. But if you wanna manually do it, then you need to download the fil, usually in .tar.gz format. From there you need to unpackage it. I'm on my phone so I can't link very well. Try Googling "installing .tar.gz" or "untarring file" or whatever. That should do you good. Then from there, you'll have to run the config or make install shit, depending on what it is. Try googling something like "how to install packages in Slackware" for a better, brief overview.
For those about to hack, I salute you.