Nice job, but perl isn't really necessary at all... Here's one for your standard unix tool curl.

curl -O "http://i.cnn.net/si/features/2002/swimsuit/images/gallery/{an
+a_beatriz,audrey,bridget,chandra,ehrinn,elsa,heidi,isabeli,josie,meli
+ssa,molly,petra,shakara,vanessa,veronica,yamila}lg[1-10].jpg"
[download]

although I think the images are gone now. Ah well. *shrugs* :)

and if we take the updated location into account:

curl "http://sportsillustrated.cnn.com/features/2002/swimsuit/images/g
+allery/{ana_beatriz,audrey,bridget,chandra,ehrinn,elsa,heidi,isabeli,
+josie,melissa,molly,petra,shakara,vanessa,veronica,yamila}/lg/[1-10].
+jpg" -o #1_#2.jpg
[download]

which I just tested, and it works fine!