website.com/pdf/1.pdf
all the way to
website.com/pdf/4000.pdf
and download everything in between.
http://website.com/pdf/{:1..4000}.pdf
There are many more macros available to automate such tasks. You may read more in the Help file about them.
Also, there is a button near the URLs field (Project Properties dialog) to open the URL Macros constructor.
Best regards,
Oleg Chernavin
MP Staff