Macro to Save Multiple Files off an online Database

I have a question to ask you fine ladies and gents; I am searching for a particular software for someone who needs a macro that will help him save multiple files off of a database. The database is set up somewhat inefficently (no control over this) and he has to save several dozen different files individually instead of having the option to save them in one giant batch.

To simplify this, I was wondering whether there was a macro (or something even better) that would allow him to go through and save every link without him having to sit and wait, clicking through everything one by one. Ideally, he wants to have this running over night so that he can just pick up from where it leaves off the night before.

I hope that wasn't too vague, but any help would be greatly appreciated. Thank you in advance (: