Download File Manager
You may wish to consider using a file download manager to help ensure complete downloading of files should the download connection be interrupted. One such tool is the Free Download Manager, which is not endorsed nor supported by the GIS Hub but is listed as an example.
Download Multiple Files
To download multiple files at a time you may wish to consider using a utility such as wget. After installing wget, an example for downloading all files from an HTTP directory from within a command prompt is:
C:\data> "c:\Program Files\GnuWin32\bin\wget.exe" -rv http://gisdata.nd.gov/Cities/BismarckMandan/Elevation/2009/Contours/SHP/
An example of downloading only the .xml files is:
C:\data> "c:\Program Files\GnuWin32\bin\wget.exe" -rv -A.xml http://gisdata.nd.gov/Cities/BismarckMandan/Elevation/2009/Contours/SHP/