There are multiple ways to download files that you receive from the StudioCDN application. You are only able to download Audio/Video files if the Sender has allowed you to do so. If you wish to download one file, click on the yellow downward arrow icon next to the desired file as shown in the picture below.
If you want to download multiple files first install the Media Science International’s Multiple File Downloader Extension for your current browser which is explained in their respective guides. You can download them Here.