Use a regex to extract the range edges from each line, then use the range operator to turn them into a sequence:

#!/usr/bin/perl
use warnings;
use strict;

my @sets = [];
while (my $line = <DATA>) {
    if ($line =~ /\[([0-9]+)\.\.([0-9]+)\]/) {
        my ($from, $to) = ($1, $2);
        $line = [$from .. $to];

    } else {
        chomp $line;
        $line = [$line];
    }

    @sets = map { my @prev = @$_; map [ @prev, $_ ], @$line } @sets;
}

use Data::Dump 'dd'; dd @sets;

__DATA__
[0..1]
[2..4]
9
[5..8]
[download]

Updated: missing $line in chomp, ThanX LanX.