> Aka, I want an easy way to download all the files
> from a certain site without having to manually put
> in 1000 numbers in hope that the ones I put in are
> files, and avoid the ones that are 404 error.

Have a read of this help page:
<http://httrack.kauler.com/help/URL_number_sequences>

You can't avoid 404s if you're just hitting the server in a sequence, but you
could choose the HTTrack option "No error pages".