You can download copies of documents in the selected work area or folder either to your working directory, or to some target folder outside of ProjectWise (typically on your local file system, but not necessarily).

Use Folder > Copy Out to download copies of the documents in the selected work area or folder to your working directory.

Use Folder > Export to download either managed or unmanaged copies of the documents in the selected work area or folder to some target folder outside of ProjectWise.