After testing these reports on my machine, I was not able to reproduce the problem. However, the issues on the forums (2, 3) seem to affect a large amount of users. As Michael Jones from The Unofficial Apple Weblog (TUAW) suggests, the issue is essentially that groups of files downloaded may not open all (or any) of the files as a group. He suggests that this is a universal condition of Snow Leopard, though as I stated earlier I could not recreate the situation as described.
This problem seems to be due to a "feature" in Snow Leopard, related to security concerns, that quarantines downloaded files. Much has been made of Apple's noticeable push for better security with Snow Leopard, though this inconsistency with the user experience may cause them to rethink how they handle files downloaded as a group.
This thread explains a Terminal-based workaround to get rid of the quarantine label on your files as well as some other workarounds users have discovered. Of course, if users are going to attempt any of these suggestions, be sure you have a stable backup of all your important data. As with many issues we have reported about Snow Leopard, we will track them against the release of 10.6.2 and report on whether they are addressed in the update.