Click on the blue arrow opposite the document. This will download the document in question to your device.
How Do I Search For a Document?
There is not a bulk download facility available.
Note: If you do download a copy of a document and then make some changes to it, make sure you save the amended version back to the Document Library by one of the 2 methods. If you fail to do this, the copy stored in the Document Library will be the version before you made the amendments. You will need to give it a new file name.