HOW TO download multiple documents in a SharePoint 2010 Library at once

To download a document from a Library in SharePoint 2010, you can right click on it, select Send To & choose Download a Copy -

But what if there were several documents and you wanted them all at once without going through the hassle of downloading each one of them individually?

Jump to the Library tab & click on the Open with Explorer option -

This will open up your Windows Explorer with the folder containing the documents you require within them.

Thanks Lakshmikanth for the tip.