Sometimes, you may have to download the datasets directly from their repository by using a web browser or a wget command (on Linux systems).
If you have already downloaded and unpacked the data (if necessary) into your working directory, the simplest way to load your data and start working is offered by the NumPy and the pandas library with their respective loadtxt and read_csv functions.
For instance, if you intend to analyze the Boston housing data and use the version present at http://mldata.org/repository/data/viewslug/regression-datasets-housing, you first have to download the regression-datasets-housing.csv file in your local directory.
You can use the following link for a direct download ...