If I understand correctly, you have an on-premise installation of Mendix on a server you can access using remote desktop, correct? You can indeed access the filesystem of the machine its running on using Java, assuming you have the right permissions.
As Mendix is a web-based application, on your local machine, you can only view webpages and upload/download files via the browser. In my point-of-view, Mendix is not the right tool to access the filesystem of your local system; is that what you want?
You might want to look into Java-applets, which can run within a webpage and ask for permission to the user to access the filesystem of the user.
You can offer a FileDocument as download in a microflow using the download action. Pay attention: it should be a specialization of the System.FileDocument entity and granted access via roles to your user.
Documents can NOT be addressed directly on a server in the Mendix cloud. You can only read and write data in the temporary folder.
As an alternative you can create a Java-action that combines filedocuments into a zip file document and download that zip. Examples are available on the forum.