I had to download many ASP.NET pages from the SharePoint Pages library that were used to wrap up the Reporting Services ReportViewer webpart. I wanted the pages as files, so I could deploy them to another SharePoint server. Unfortunately, SharePoint doesn't support selecting and downloading multiple files. But, it does support the WebDAV protocol.

1. Open Windows Explorer and type in the following URL:
   \\<SharePoint site>\<library>

   Example: \\elitex\Pages, where elitex is the SharePoint server and Pages is the document library.

2. Windows Explorer shows all documents in the library. From there on, just copy the files you need to another folder.

The only caveat is that you need to make sure the WebClient Windows service is running on your laptop. If you're trying to connect from Windows 2008 Server, then make sure the Desktop Experience role is installed as well, which installs that WebClient service.