You can save any item from your Document Library back to your computer by selecting it and pressing the Save to disk button. When you do you'll be asked to identify a name and location for the file. After specifying this information the transfer will begin. A progress bar will indicate how much data is left to be transferred as the selected file is being saved to your computer.
Large files may take a while to save to your computer. This will depend largely upon your connection to the Internet. Luckily, though, downloading is usually much faster for consumers than uploading.
Document Library Help Topics