The browser security model recommendations (outside of Silverlight) forbid web application logic (script or otherwise) to have direct access to the local file system.
Think about what could damage a malicious website on your computer if the web application script could write arbitrary files to arbitrary places on the local hard drive!
For this reason, Silverlight isolates your code from the local file system. Silverlight controls the Open File or Save File dialog boxes, but your web application code never lets you see the full path to the file names directly for security reasons. The Silverlight dialog box only supports one file name / path at a time.
Silverlight offers isolated storage on the local computer where your web application can write multiple files. However, as noted in the comments, isolated storage is isolated in both directions - it isolates the web application from the local file system, and this makes it difficult for the end user to access the contents of the isolated storage outside the browser. (It is difficult to make it inadmissible for non-technical users, but it is not difficult to call the isolated storage “safe” from malicious tracking).
Except for writing your own built-in extension of the executable browser (for every other brand and version of the browser you want to support) (or a non-isolated javascript plugin for some browsers), I don’t think there is a way for a web application to transfer data to Several local files, convenient for use outside the browser in one user action.