I am also a newbie using the LinkStation.
I don't think using buffalonas.com gui can download a whole folder. You may have to enable ftp server protocol on the share folder and use ftp instead. But I have never done it. You can look into your manual about how to enable ftp server. These are from my manual.
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FTP Server Info: Enabling the FTP Server will allow users to connect to shares via FTP protocol.
Their username and password is used for their login credentials, and they will only have access to
shares that have read-only or writeable access to on the LinkStation. The network administrator
of your network may need to enable traffic on port 21 to the LinkStation for FTP to work over the
Internet. Enabling FTP is not recommended unless you’ve configured access restrictions.
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And by the way, do you know how to configure user/group so that share folder can be access only by restricted user? (I am using LinkStation Mini)