If it's your own site then you can use an FTP program.
There are several available, some free, some not.
If you go to Download.com click here and type ftp in the search box it will return more results than you'll know what to do with.
WS_FTP LE 6.0, Leech FTP 1.3 or CoffeeCup Free FTP 3.0 would be my choice.
Obviously you will need your FTP username and password to access the web host account.
If you mean you want to be able to import other peoples web sites I'm not prepared to discuss that.