Two python scripts problem.py and contest.py will help you to download all the pdf problem set volumes and contest volumes respectively. Problems or contests that does not have pdf will not be downloaded. Each volume will be stored in its own folder. File size of all the pdfs ~380MB.
Run the python script from command prompt, you need Python. https://docs.python.org/2/faq/windows.html#how-do-i-run-a-python-program-under-windows