This is requested constantly and the answer never changes - it's not going to happen. Mass downloads require creating zip files on the fly and doing so, especially when multiple people are doing it at once, places an enormous strain on the server's resources.
That said, I can save you one step at least. Don't right-click > Save As on the images you're downloading. Use the "Download this Sheet" link instead. Doing that will give you a more usefully named file (Category - Game - Sheet Name.png).
Also, as I always do when this comes up, I need to ask - why are you even doing this? What's your use case for downloading every sheet from every Mario & Luigi game?
That said, I can save you one step at least. Don't right-click > Save As on the images you're downloading. Use the "Download this Sheet" link instead. Doing that will give you a more usefully named file (Category - Game - Sheet Name.png).
Also, as I always do when this comes up, I need to ask - why are you even doing this? What's your use case for downloading every sheet from every Mario & Luigi game?