Use the Explorer view when doing more than simple file maintenance
If you are uploading a big group of files to SharePoint, it can be cumbersome to try to fit them all into the drag-and-drop window. Or maybe you want to copy a lot of files out of SharePoint onto, say, a thumb drive for transport. Luckily there’s a way to make your SharePoint site’s document libraries appear just like any other disk in your file system.
Open a document library within your Web browser (I have found that Internet Explorer works best for this), and, from the Library Tools group, click the Library tab. Then, from the Connect & Export Ribbon group, click Open with Explorer. You may get a security warning you need to acknowledge — click OK or Yes on this, depending on how your system is configured — and then you’ll get a standard Windows Explorer or File Explorer window just like you’re used to. Copy, paste, cut and move to your heart’s content from here.
Note that for this to work, you need to either be within the state’s network, have DirectAccess enabled or be connected to your company VPN, or be accessing an external version of your SharePoint site. So if you’re at home with no VPN and you try to access http://sharepoint (an internal URL your company may have), this Explorer view will not work. Also, some corporate administrators turn this feature off for security and information protection reasons, so check it out first before you depend on it, just to make sure it works in your organization.