How do I automate the data explorer download? Has anybody done that? I want to build an app which would use this data. I want this data to be updated automatically. Is there an JDBC connection or an API call available which I can run daily.
If you are referring to The Stack Exchange Data Explorer there used to be an option for an odata connection but that got switched off some time ago due to stabillity/configuration issues. It is not definitely cancelled but it isn't working at the moment as well.
To have near-live access to questions, answers, comments, users and sites among other data you might explore the Stack API with its support site Stack Apps. Do notice that you are allowed only a certain amount of calls per day and you are throttled if you make to many calls per minute. For the current details check the rate limits.