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The best option for transferring multiple files at once is to use zip file compression. This way, it provides hassle-free, lossless file compression while moving files from one storage location to another.
There are plenty of "packing" programs available that allow zip file compression. Gather a few files, stuff them into a single folder, compress that folder, and you'll have a zipped folder that you can move via email attachment or whatever transfer method you choose.
The recipient of the attachment will also need the same or a similar tool to 'extract' the data inside the zipped folder. This can all be easily done with just a few clicks.