Usually the PS3 only lets you download 1 file at a time so after one's done it automatically downloads the other. It should say "Pending" for a file that's waiting for the current file to finish downloading.
^^^^What he said, but let me add, that all you do is just keep hitting download on all the things you want off the store and it automatically puts them in line to be downloaded next. You don't have to do anything.
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