tFileFetch can be used to download file from SharePoint directly. Just follow the steps in the Component Guide, you can do this fairly quick.
I went one step further: apply tSoap to call SOAPaction GetListItems of webservice lists.asmx, and then port the response to a XML file. By parsing the XML using tFileInputXML, I get the list of URLs of all files in a SharePoint Doc lib folder. The final step is to iterate the list and supply the URL to tFileFetch so that all files can be downloaded. Set up a batch job to grab many folders and saved tons of clicks !