Once you've found the Sound you're looking for, you can add it to your library by clicking the + button to the right of the entry (the + button will appear once you hover your mouse over the selection).
You can click Get Pack at the top right of a sample pack to batch download all of its samples and/or presets. This does not include MIDI files or pack extras.
You can also shift-select multiple samples using the checkboxes on the left-hand side of the navigation screen to batch-download them.
Downloading Directly from the Web
If you want to download the Sounds to your current browser's default download folder, hover your mouse over the selection you added to your library. You will notice a download arrow.
After clicking the arrow, the sample will appear in your current browser's default download folder. The location of the web download will be different from the desktop app folder.