There are several ways of downloading files from DirectAdmin, with the most popular being either the DirectAdmin File Manager or FTP.
With either approach you can download files or folders. Single files will be downloaded as-is, while folders will be compressed and downloaded.
The other popular option for downloading files is to use FTP. With this option there is a lot more control over what parts of the account are accessible, how multiple files and folders can be downloaded in one batch, resuming if there's an issue, etc.
In order to download files, there either needs to be an account already created so that you can login with the appropriate username and password, or anonymous FTP must be set up to allow access.
Note: The default account is created with the control panel login username/password. It can have the FTP password changed, but can't be removed.
If you're wanting to provide FTP access for someone else, then follow the create account steps.
Another option is to download via anonymous FTP access which won't require a special FTP account and password creation.