Ok, this is quite weird.
wget -r mysite.com/mylink/
should get all the files recursively from the 'mylink' folder.
The problem is that wget saves an index.html file!
When I open this index.html with my browser I realize that it shows all the files in the current folder (plus an option to move up a folder)
Note that I am talking about a HTPP server not FTP.
The thing is that by giving
wget mysite.com/mylink/ICON.png
it does download it normally. What is the problem?