Hi,
this one isn't easy without using zip. An applet might do the stuff, but I don't know such an applet yet. The only thing I know is how to make the save as popups appear automatically and (nearly) parallel with one click. The user would have to hit the save button for each file anyways 🙁. As soon as a user hits save and before choosing the file name the next save as would pop up.
It's not a very nice solution but the user wouldn't have to click on each download link 🙂