Assuming you have download permissions, you can download files either via the download button corresponding to each file or by clicking on the ‘Bulk Download’ option.
To download entire directories, click on the 'Bulk Download' button located near the top right hand corner of your screen. You can choose specific files or folders by checking the corresponding tick boxes and then clicking on the 'Download Selected' button. You will then be emailed a link which will grant you access to a ZIP file which contains your selected items. The original directory structure will also be kept.
Selecting the 'Download All' button (within the Bulk Download screen) will ZIP the entire data room contents for you. This option is generally not recommended on large data rooms as it can take quite some time. Users will be provided with an on-screen warning which gives them the option to decline the download request.