I had trouble with this, so I am going to document it here! With pictures. Because it’s about as user-friendly as a cornered rat; but obvious once you know.
Say you want to download a volume of the Corpus Inscriptionum Latinarum? These are here. So go to that link. You get a page like this (you can switch the language to English somewhere on the site, at top right – may as well).
When you get it, there will be a floppy disk icon top right.
When you do, you will get a pop-up:
Instead click on the “Download book as PDF file”. And … your download will begin.
Be warned: the size of these books is in gigabytes. Which won’t matter a bit once the internet speeds up a bit, but may make your eyes pop a bit in the mean time!