You could urlwrite function to download the files from an online database. The following steps can be followed to download the files:
1) Save of the URL of the file to be downloaded into a variable called 'url':
url = 'http://blizzard.mtukrc.org/~weather/KRCwthr050916.csv';
2) Use urlwrite to download the required file as follows:
urlwrite (url, 'KRCwthr050916.csv');
You could also use webwrite function to store the output into a workspace variable. For mor information on urlwrite, you could look at the documentation page here.
Hope this helps!