Downloading a large dataset on the web directly into AWS S3
Since you obviously posses an AWS account I'd recommend the following:  


Create an EC2 instance (any size)  
Use wget(or curl) to fetch the file(s) to that EC2 instance. For example: wget http://example.com/my_large_file.csv.  
Install s3cmd  
Use s3cmd to upload the file to S3. For example: s3cmd cp my_large_file.csv s3://my.bucket/my_large_file.csv


Since connections made between various AWS services leverage AWS's internal network, uploading from an EC2 instance to S3 is pretty fast. Much faster than uploading it from your own computer. This way allows you to avoid downloading the file to your computer and saving potentially significant time uploading it through the web interface.