If you have the permission to download documents, you will see a button Mass download under the triangle button next to Documents. Your download will start directly in your browser.
NB: If the Mass Download button is not active, it means you have not been granted the permission to download documents by the Vault Admin.
If you would like to only download the new documents since your last login or from a specified period, you can navigate to New and select all items and select Download. The download will immediately start in your browser.