In this case you can simply use readHTMLTable
:
readHTMLTable("http://www1.ncdc.noaa.gov/pub/data/cmb/drought/weekly-palmers/2005/",
skip.rows=1:2)[[1]]$Name -> file.list
Then to create a list of paths:
paste("http://www1.ncdc.noaa.gov/pub/data/cmb/drought/weekly-palmers/2005/",
file.list[!is.na(file.list)], sep="") -> path.list
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