In short, yes, but use requests.
I'm going to give an example using the requests module as it is much preferred to directly using urllib (and literally three lines of code).
I'll be using this as an example, which I think is what you mean by 'file directory'
>>> import requests
>>> r = requests.get('http://www.tulane.edu/~howard/SPAN-NLP/mp3/')
>>> print r.text
This directory contains a list of podcasts. Here is the result of r.text:
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 3.2 Final//EN">
<html>
<head>
<title>Index of /~howard/SPAN-NLP/mp3</title>
</head>
<body>
<h1>Index of /~howard/SPAN-NLP/mp3</h1>
<ul><li><a href="/~howard/SPAN-NLP/"> Parent Directory</a></li>
<li><a href="SPAN4350-01-Intro.MP3"> SPAN4350-01-Intro.MP3</a></li>
<li><a href="SPAN4350-02-CompLeng1.MP3"> SPAN4350-02-CompLeng1.MP3</a></li>
<li><a href="SPAN4350-03-ListasCadenas.MP3"> SPAN4350-03-ListasCadenas.MP3</a></li>
<li><a href="SPAN4350-04-Cadenas2.MP3"> SPAN4350-04-Cadenas2.MP3</a></li>
<li><a href="SPAN4350-05-Cadenas3.MP3"> SPAN4350-05-Cadenas3.MP3</a></li>
<li><a href="SPAN4350-06-Cadenas4.MP3"> SPAN4350-06-Cadenas4.MP3</a></li>
<li><a href="SPAN4350-09-UnicodeRegex.MP3"> SPAN4350-09-UnicodeRegex.MP3</a></li>
<li><a href="SPAN4350-10-Regex.MP3"> SPAN4350-10-Regex.MP3</a></li>
<li><a href="SPAN4350-11-Regextoken.MP3"> SPAN4350-11-Regextoken.MP3</a></li>
<li><a href="SPAN4350-12-NLTK.MP3"> SPAN4350-12-NLTK.MP3</a></li>
<li><a href="SPAN4350-13-NLTK_Control.MP3"> SPAN4350-13-NLTK_Control.MP3</a></li>
<li><a href="SPAN4350-14-Control2.MP3"> SPAN4350-14-Control2.MP3</a></li>
<li><a href="SPAN4350-15-Control3.MP3"> SPAN4350-15-Control3.MP3</a></li>
<li><a href="SPAN4350-16-Control4.MP3"> SPAN4350-16-Control4.MP3</a></li>
<li><a href="SPAN4350-17-Control5.MP3"> SPAN4350-17-Control5.MP3</a></li>
<li><a href="SPAN4350-18-ReciclarCodigo.MP3"> SPAN4350-18-ReciclarCodigo.MP3</a></li>
<li><a href="SPAN4350-19-Funciones.MP3"> SPAN4350-19-Funciones.MP3</a></li>
<li><a href="SPAN4350-21-Funciones2.MP3"> SPAN4350-21-Funciones2.MP3</a></li>
<li><a href="SPAN4350-22-ComputacionLeng.MP3"> SPAN4350-22-ComputacionLeng.MP3</a></li>
<li><a href="SPAN4350-23-ComputacionLeng2.MP3"> SPAN4350-23-ComputacionLeng2.MP3</a></li>
<li><a href="SPAN4350-24-ComputacionLeng3.mp3"> SPAN4350-24-ComputacionLeng3.mp3</a></li>
<li><a href="SPAN4350-25-ComputacionLeng4.MP3"> SPAN4350-25-ComputacionLeng4.MP3</a></li>
<li><a href="SPAN4350-26-ComputacionLeng5.MP3"> SPAN4350-26-ComputacionLeng5.MP3</a></li>
<li><a href="SPAN4350-27-Tuiter.MP3"> SPAN4350-27-Tuiter.MP3</a></li>
<li><a href="SPAN4350-30-Tuiter3.MP3"> SPAN4350-30-Tuiter3.MP3</a></li>
<li><a href="SPAN4350-31-Tuiter4.MP3"> SPAN4350-31-Tuiter4.MP3</a></li>
<li><a href="SPAN4350-32-Web.MP3"> SPAN4350-32-Web.MP3</a></li>
<li><a href="SPAN4350-33-Web2.MP3"> SPAN4350-33-Web2.MP3</a></li>
<li><a href="SPAN4352-34-Youtube.MP3"> SPAN4352-34-Youtube.MP3</a></li>
<li><a href="SPAN4352-35-Youtube2.MP3"> SPAN4352-35-Youtube2.MP3</a></li>
</ul>
</body></html>
As you can see, it's basically the representation of all the files in the directory as a html document. You could very easily extract all links using regular expressions and iterate over them to access all of the files.
This will only work if the place the files are hosted is configured to return this type of document. Most do, but if it is otherwise configured, I don't know of another way to do so programmatically.
Also, probably don't brute force using all character combinations. There are much better ways to do so (generally people use words as file names with possibly a number at the end, also the words usually relate to the contents of the file so you could use that to guess if you know what type of thing you're looking for, etc.)