This info should help you get copies of a bunch of files from one folder, into another folder, on the local machine. Assuming you have the following folder view options checked "show all files" "show system/hiddenfiles" and "hide extensions of known file types" unchecked,

Regardless of the file type; to get all the files from one directory/folder and any sub folders/files in that directory, open the directory where your files are, then go to the edit menu, choose "select all"
default windows hotkey (CTRL+A)

Then "copy"
default windows hotkey (CTRL+C)

So now where do you want to put them all?

Open up whatever you want to put them in, then go to the edit menu, or right click on an empty section inside the OPEN window of the folder/directory where you plan to download files to, then select "paste"
Default windows hotkey (CTRL+V)