The most efficient way to download multiple file attachments or documents is from the Productivity Tools > Documents screen. Here, you can access a list of all the linked documents in CORE and also manage them from there. Select the documents you would like to download from the grid and click Download from the Actions menu.
The same applies to receipts attached to expense entries in CORE. You can download all the expense attachments (receipts) from the main Documents screen. Select Expense Entry under Show on the top-right to display all the expense attachments. Then select all of them and click Actions > Download. Check CORE Help Center for details.