It is sometimes a pain to download multiple files from a SharePoint document library - especially when there are a lot of them. Many times the Explorer view doesn't work as it should and therefore dragging and dropping the folders you need are not possible. WebDAV may not be working so you can't get connected that way either. 

Which is where a nice, free solution comes into play. I've been a great proponent and user of the free WGET - the open source, command line web downloader. WGet for Windows is also available and simply extracting the files to a folder and adding it to the path allows you to start working with it. All you need to do to get the files off of a folder in a Document Library is give the following command:

wget -c -r -l1 --http-user=[username] --http-password=[password] --accept=aspx,docx,pptx,xlsx http://[Sharepoint URL]/[Document Library]/[Folder]

• r: For recursive
• l1: For downloading only upto 1 level
• http-user and http-password: The username and password to login to the Sharepoint site
• accept: The comma separated list of file extensions that will be downloaded. ASPX is required since all the pages in SharePoint are of this extension

When you do this, all the files in the folder you pointed to will be downloaded into the current directory. You will need to repeat this for each directory in the top level Document Library you wish to download. However, this is a much faster and easier way than downloading each file once at a time.