If you are running Ubuntu, it is strongly suggested to use a package manager like aptitude or synaptic to download and install packages, instead of doing so manually via this website.

You should be able to use any of the listed mirrors by adding a line to your /etc/apt/sources.list like this:

deb http://ubuntu.mirror.cambrium.nl/ubuntu/ lucid main 

Replacing ubuntu.mirror.cambrium.nl/ubuntu/ with the mirror in question.