Basically HTML does not support such thing...
You have two options:
1. If the file list is known on the client, you can use special JavaScript library to initiate multiple downloads... You can find one of those libraries here:
GitHub - sindresorhus/multi-download: Download multiple files at once[
^]
2. If the list of files is something dynamic and comes from the server, you should consider to pack all those files into a single zip and serve it as one...
The most important thing is: inform the end user, that by clicking the button he will download a large amount of files! Without it you may find yourself on the dark side of the force in no time!