In order to download files, you can either
right click your file and select "Download" from the contextual menu
left click your file and click on "Download" from the explorer window toolbar.
Due to security policies, web browsers do not allow for several files to be downloaded at once (attempting to download multiple files from the contextual menu will only download the first one you selected and selecting multiple files will disable the download button from the explorer window toolbar).
To circumvent this you can add the files you want to download to a compressed folder. This will allow you to download them all as one zipped file (incidentally this makes for shorter download times).