You can't do it without some third party assistance.
Freeware tools such as Flashget will allow you to select all the links within a page and download the files.
http://www.flashget.com
This is going to be very useful if you have a legal requirement for example to obtain and store the results of a search without formal archiving, all documents at a point in time containing the filename case2 for example. As a tool it can download all links in a page with a single click, and it can apparently filter the downloaded items by extension names so you only get the PDF files, or DOC files.
I've not actually tried it myself so usual caveat to make sure it satisfies your actual business requirements and don't just take my word for it