How can I download all MP3 files from a web site?
You can use wget like this:

wget -r -nd -A.mp3 http://www.parweztv.com/Khan%20Adeeb/SURA-04/


-r to recursively download all files below the level of the URL specified

-nd to not create a hierarchy of directories in your download location (not necessary)

-A to specify the files you want to download (all files ending in .mp3 in your case)

You can obtain wget for OSX via homebrew or macports.