You won't be able to download multiple files like that, I imagine what is happening is that the loop goes through once and on the second iteration it then throws the exception.
What you really should be doing is zipping all the files into one file to download, this question should give you an idea of what I mean.
By zipping the file you'll also get the benefit of compression (less bandwidth, faster transfer) and the user (in your current scenario) won't be presented with multiple 'Save As' dialog windows (much more professional!).
This link may also help you with some other potential ideas (like having a 'Download' page with URL parameters to identify the file). I'm more a fan of a zipped single file option though!