MLDownloader is good software. I have used it in the past and still using it. It has some limitations. It depends on third parties for supporting the data.
For Indian stocks, it was depending on Yahoo Finance to provide the historical data. Yahoo stopped providing this data and the software became useless. At present one has to download the data every day, if you fail, you miss that day's data, as yahoo does not provide any historical data anymore.
It is great software if one needs for USA market, as there are number of web sites provide historical data as well as daily data. There is choice available, if one web site stops the service, one can still get from another source.
I post my views since the above convesation appears dated (2005). The MLdownloader website now states that it supports EOD download for NSe and BSE, though it does not say if the software automates corporate action price adjustment for non-US markets, particularly India. I have written to them and await a reply. Will post here once I have the info.
Here's wishing everyone at Traderji a fantastic 2008!