1. Those checkboxes are only shown to users with edit permission, they are for deleting multiple things at once not for downloading.
2. If you are in Full Trust hosting you can enable NeatUpload which can support uploading multiple files at once. You can find out if you are hosted in full trust from Administration > System Information. If it says Full Trust there then what you can do is rename Web.config to web.mediumtrust.config and rename Web.fulltrust.config to Web.config and then restore any customizations such as machine key in that Web.config file. NeatUpload doesn't work in Medium trust/partial trust so we have it disabled by default since most shared hosting is in partial trust in order to avoid errors. It is the difference in the web.config files that enables or disables NeatUplaod.
If you see a progress bar when uploading then NeatUpload is enabled if you don't then it is not.
Hope that helps,