When viewing the folder in question, you can click More->"Download as .zip file" to download a ZIP file containing all of the files and folders in that folder. After Downloading, extract the contents and you will have a file structure identical to that on SkyDrive.
Hope this helps,
P.S. Note that Microsoft has separate versions for Internet Explorer and non-IE browsers, with Internet Explorer being required to access some site features.
I have changed computers and wish to download my pictures from Skydrive. I can download individual photos but I would like to download folders. I can not highlight a folder and then save it to my new computer. I live in the UK