Downloading all files at once from one site – it’s easy if you have Firefox and the add-on DownThemAll.
Look at the MOODLE FAQs of University of Bath
Otherwise there was a zip-file download implemented for the Vienna University of Technology. This takes all submissions of one assignment and creates a zip file ready for download. For further information contact me via potocka (at) elearning.tuwien.ac.at