One request and response can only contain a single file. If you want to return multiple files in a single response, you will need to use a container file - ie: a zip file.
The
built-in support for zip files[
^] is not great, so you'll probably have better luck using a third-party library. For example, I've used DotNetZip (
NuGet[
^],
GitHub[
^]) to do this.
You
may be able to use Javascript to trigger the "click" event on the other links when the user clicks on one link, as Gerry suggested in the comments. However, this could potentially fall foul of the browser's pop-up blocker, which generally tries to block downloads which aren't initiated as the direct result of a user interaction. You would need to test this option in all the browsers you need to support to see if it would work.