One file at a time
Open a request and use the ⋯ menu on the file, then Download. Clicking the file name previews it instead. Files are decrypted in your browser using your organization's key, which is why you need to be unlocked with your encryption passphrase to download anything.
Everything at once
Use Download All on a request to download every uploaded document. Each file downloads separately, under its own name; rejected files are left out. The button only appears once something has been uploaded.
To get files as a single ZIP instead, tick the checkbox next to each one you want (or the checkbox on an item to select all of its files). The button changes to Download zip (n). A selection takes exactly what you ticked, rejected files included (click Show Rejected on the item first to see them). This is the fastest way to move a completed file into your own document management system or matter folder.
The ZIP is assembled in your browser rather than on the server, since the server never holds the key to read your documents. For a request with many large files, expect it to take a moment and avoid closing the tab while it builds.
Automatic copies
If you'd rather not download manually, connect Dropbox, Box or Google Drive (Professional and Enterprise plans) to copy approved documents into a folder as they're accepted.