This option allows you to purchase the full album in one click rather than buying each song individually. The album you are downloading is zipped into a file. Once the file is completely downloaded, double click on the file. It will open a dialog box (see picture) and you should choose where you'd like the mp3's to be deposited (Desktop, My Music, etc). Then click on the unzip button and you're good to go.
Please be patient on your download.