Download files directly to Linux server

When I want to put files onto my Linux server (a hosted server that's far away from me) that are currently on some third party website, I have to download them onto my desktop first, then upload them onto my server through FTP.

This takes too long, as I have to wait for the whole download from the third party website to complete, then the whole upload to my server. Is there any way to tell my Linux server to actually download that file itself directly (that file is not on an FTP site, but rather just on an HTTP regular website).

I imagine there'd have to be a way. I tried commands like scp and such, but it's not working. I don't know whether I'm looking a totally wrong command, or just using the command incorrectly.

Thanks.

 

 

 

 

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