Yes, two methods to describe for this one. When using the FIRST Windchill server, there are two main "objects"; Documents and CAD.
Documents can be exported via "Download Documentsto Compressed File" while CAD files need to be opened with Creo and saved locally. There is no direct interface to download the CAD without Creo.
Documents can be downloaded individually or by folder, either one is okay. The only gotcha is downloaded file size based on the browser you are using. All browsers support up to 2GB. I'm guessing you don't have that much content unless you are storing all your videos in Windchill. In that case, you'll have to be selective based on the amount of data you have.
I often recommend performing a Save a Copy/Backup in Creo after a successfull checkin of your files if you want to maintain local copies. Dated folders are a good way to preserve the various design ideas and variations over time.
Another option for CAD is to save it locally, create a ZIP and upload the ZIP as a Document in Windchill. This is a redundant method, but gives you quick access to the files if you don't have Creo.
NOTE: Do not updload Creo CAD files as Documents in Windchill. You will not be able to work with them in Creo. This is a common mistake for beginners. Create the server connection in Creo, connect to the server by selecting a workspace and save all your files in the workspace. As needed, use the Upload action to push the files to the server workspace and Check In to add the files to your Project.
