If your survey has Picture Upload or Audio Upload questions on it, you can export all of these files together using the AV Uploads Export.
From the main admin page, go to AV Export:
The AV export page has several options on the left. Be careful of the "Delete" options, they will permanently delete files.
You can chose a date range, status range, and which questions to include in the export. This export creates a zip file containing all of the selected images or audio files.