You have two options, you can either export the data displayed on the documents grid itself into an excel file or you can download the actual document files.
To download the grid data values you can mouse over the Action menu and click the "Export to Excel File" menu option. This will download into an excel file the data as you see it on the grid. Meaning any column order or filters that are applied to the grid will impact the data that is exported.
To download the actual document files you can mouse over the Actions menu and click the "Download Documents" menu option. Clicking this option will start the download. The downloaded file will be a zipped or compressed folder containing the actual files stored for each of the document records displayed on the grid. Please note there is a limit of 200 documents per download.