The additional Audio files (plus Themes, Menu Sets, etc.) can be downloaded, either as needed, or one can download them all at one time. Note: depending on how fast one's Internet connection is, this downloading of all the additional files can take some time, so one must be patient.
I suspect that your question is not being interpreted/understood correctly. So, please verify.
First, there is no Fire and Industry category. There is a "Fire and Explosions" category and an "Industry" category among the many categories.
After you install Premiere Elements 12, are you saying that all you see under Audio/Sounds Tracks is just the categories of "Fire and Industry" and not all those as seen in the following screenshot? If so, you have a problem which is unrelated to Download Now and Download All in order to use the Sound Track(s).
When the program is installed, you should see all those categories shown in the screenshot. In the program's folders/files on the hard drive, those categories should be all represented, but as incomplete folders/files. And, when you want to use one of the Sound Effects, you have to right click the blue band on the thumbnail inside the category and select Download Now or Download All. After you do that, either one or All will be available for use because you have added the files necessary to make the Sound Effect work and complete the files in the hard drive folder.
There have been numerous cases when there has been a delay in the appearance of the Audio/Sound Effects/categories. How long did you wait after program install before you went looking for Sound Effects? With this delayed appearance, one category at a time begins to show up under Audio Tab/Sound Tracks. Is your Internet connection OK and (not always necessary in this case) your antivirus and firewalls turned off?
Please verify and supply the details requested and then we will decide what next.
Again, I point out...there are two matters here
a. downloading a Sound Effect for use in a project to complete incomplete files that came with the program install
b. delayed appearance of Sound Effects after the program appears to be fully installed.