Need help transferring multiple files

I'm trying to transfer multiple music files to my pc from my phone. I see all the files and i can select each and transferring them individually works. However, when i select multiple files, they won't seem to transfer. I hit the download button but nothing happens.

Am i missing something or do i have to do this one file at a time? That would take quite a while if so. If not, can someone give me step by step directions please? Thanks!