Depending on your needs, you may download your rolls, or particular files, with the toolbar icons or their menu/keyboard equivalents.
Downloading everything is as simple as pressing the "All" button. Nothing need be selected in the view; all that is required is that your listing not be empty.
It may be desirable, in the short term, to only download certain rolls or files. To do this, make your selection(s) in the list, then download with the "Selected" button. Alternately, to download a single roll or file, just double-click on it.
The selectability, and thumbnail previewing, are designed to give you the ability to prioritize. There may one or more particular images for which you are in a hurry, but the entire download may be in the gigabytes. It is easy, with the thumbnail view, to get these images, even if the overall download is already in progress.
Downloads will go into a folder called "FTProofsheet Downloads." The default location for this is the desktop, because that is how your friendly programmer likes it. However, you may change this to wherever you like.
FTProofsheet can multi-task. It is possible to have more than one download running at once. If, for some reason, the lab has given you more than one code, it is even possible to start a download, then reconnect with the other code.