If downloading one by one, right click on the title and choose "save file as" or "save link as" from the menu. From there, you will be able to choose where to save the file on your computer.
Download each file one at a time. Simply tap the title of the file to save to your device. Swipe the top bar of your device down and select to open the file. When the menu appears, choose to open in iBooks.
Once you have your file open in iBooks, it will be saved to your device inside the Library folder.
