The HTML5 File API allows you to do this natively. Basically you add the attribute multiple="multiple" to the file upload control:
<input multiple="multiple" type="file" ... />
Disadvantage: only works in modern browsers such as Firefox, Chrome, Safari. IE, even version 9 does not support this multiple download.
Otherwise, you must rely on some component of the Flash or Java download.
(Edit: changed to multiple="multiple" , thanks to Ms2ger )
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