To download multiple games, use the 'Actions' button along the upper right corner of the page:

Select the games you want to download by clicking in the small boxes to the left of the playlist titles, click on the 'Actions' button, and select the 'download' option:
If you're downloading multiple files, a pop-up window prepares all of the files into a single zip file.
Please make sure the pop-up window is not being blocked.