Thank you for the suggestion and the provided article.
Currently any drag-and-drop functionality from FileExplorer to a place outside of the browser window is not supported, but I will present your feature request to our developers for consideration, so they will decide whether such a future could be implemented in the control.
By the time being, if you need to implement a multiple files download functionality, you could see an example way to do it in the following blog post: Multiple download in Telerik RadFileExplorer
the Telerik team
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