The PDC10 Downloader app is a Silverlight 4 Out of Browser application that helps you queue up lots of downloads. You can select entire categories of content along with the type of media to download and even tweak the selection by individual file. It's not a robust download management tool, but it'll get the job done.
It will create a PDC10 folder in your My Videos library and save all files there. If a file already exists it will skip the download, so if you have problems and would like to redownload a file just delete it and try again.
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