Is there a way to Extract or Download Multiple Files at once from the File Explorer to my computer?

I used data management jobs to extract historical data from a legacy application and they are now sitting in file explorer and are split-out by period. I need to extract these files to load to a new application. I tried holding shift and control on my keyboard to highlight multiple files but I did not have any success. I believe this will need to done via business rule but I am unsure. Please let me know if I can provide any additional information.