This can also be accomplished without a regex at all, thanks to the split() function.

use strict;
use warnings;

use Data::Dumper;

my %hash;
my $header;

while (my $line = <DATA>) {
    chomp $line;

    my ($k, $v) = split ':', $line;

    next if ! $k;

    if (! $v) {
        $header = $k;
        next;
    }

    $hash{$header}{$k} = $v;
}

print Dumper \%hash;

__DATA__
first:
this:that
here:there
when:what
how:where
now:later

second:
this:that
here:there
when:what
how:where
now:later
[download]

Output:

$VAR1 = {
          'second' => {
                        'now' => 'later',
                        'how' => 'where',
                        'here' => 'there',
                        'this' => 'that',
                        'when' => 'what'
                      },
          'first' => {
                       'when' => 'what',
                       'how' => 'where',
                       'here' => 'there',
                       'this' => 'that',
                       'now' => 'later'
                     }
        };
[download]