Rather than download a tar file to my PC and then up to my webhost (both via modem!) is there a simple way to download from a web page directly to my host disk? (I have shell access!).

No problem if the file is available by ftp but many are only available by http.

Try:

wget http://path.to.file/whatever.zip

you can also use lynx

Bear in mind that you'll need either SSH or telnet access to your host in order to use wget or lynx. Some hosts also provide similar features via their control panel.

If your host doesn't allow this, try contacting their customer support -- most hosts will happily do this for you.

wget is good.
Another good method is scp (secure copy.)
Have a great day :)

regards
amar