In this case, you will have to download the files individually.
You may not be able to download multiple files at the same time. If you do not have a download manager installed, and still want to download the file(s) you've chosen, please note: Stand-alone download managers also are available, including the Microsoft Download Manager. Many web browsers, such as Internet Explorer 9, include a download manager.
Generally, a download manager enables downloading of large files or multiples files in one session.