If you are comfortable with linux shell commands, there is a way to package up and download all the files in one shot. Please see this thread for more information.
Footnote: that thread refers to assignments in the PyTorch course. I’m not familiar with the MLEP course so it’s possible that the Docker images used there may offer other commands besides tar for achieving the purpose of creating a compound “archive” file. E.g. zip may be easier to cope with if your local environment is Windows based. You can check and see if zip is provided in your case.