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If the data is accessible with a public URL, that can be entered directly into the Galaxy Upload tool. I'm not sure if that site produces such as URL -- you'll need to ask them.
Download the data locally to your own computer/server and then Upload it to Galaxy. Use FTP.
Hybrid of 1 & 2: Transfer the data to a location on your own computer/server/service running a web server with public access, then upload to Galaxy by URL.