Currently, AWS web console not provide folder downloading. We can use s3cmd or s3Browser for this purpose.
s3Browser is a freeware Windows client for S3 and CloudFront.
s3cmd download Bucket folder:

s3cmd sync s3://bucketname/folder /local/folder  

For download files using s3Browser, here is a tutorial.
Uploading and Downloading Files to and from Amazon S3