Yes, you can download all of your attachments at once. To do this click on the column header to select the entire column, and then right-click on the column and select "Download Selected".
Having done that, you can than choose a prefix for the filenames to help link up the attachments with which submission they were added to (so if you have a "Full Name" field on your form, for example, and you select that as your prefix, all of the attachments for a row will be formatted like "John Smith_FileName.doc", for example.
Select the column of attachments then right click. Select the download selected option. You can optionally add a field value to each file to make it easier to map it back to a response.
Sorry we made it so hard to find. I have making this more obvious on my feature list...
Thanks for the quick reply, but I'm not seeing the "Download Selected" option...
I click on the column header and select the entire column, right click on the selected column, but then no download option...
Nevermind, I see it now!