It has been a long waited feature; being able to download multiple files/folders at once from SharePoint Online/OneDrive for Business.
The wait is now over , Microsoft is deploying an update to make this functionality available.
Nothing to do to get it working.
Once your users will logon to SharePoint Online/OneDrive for Business using their favorite web browser, if they select multiple files/folders, they will be downloaded at once – the same way you can download multiple files from OneDrive (consumer).
The rollout is starting with First Release tenants and will be completed by the end of this year (end of December 2016).