If you need to download all course files (pdf, Microsoft office documents…) it could be helpful for you to know that a lot of people seems to be looking for a solution to that issue but there seems to be not a simple way to accomplish it.
A solution could be to back-up the course and automatically extract the files using a Jar file that an user of the Moodle community programmed: have a look to Veronica’s post in this thread
moodlehelp 