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[NewYorkIslander10]

I wanted to know if there was a way I could download all the files in an entire album instead ofsaving each file one by one or is there a plugin I can install? 

[phill104]

There is the download files as a zip plugging which will do the job. Or, if it is only yourself as admin just use FTP.

[NewYorkIslander10]

Where can I find this plugin?

[gmc]

Plugins can typically be found in the plugin contributions board (version specific):
    forum.coppermine-gallery.net > Support > cpg1.5.x Support > cpg1.5 plugins >  cpg1.5 plugin contributions
    http://forum.coppermine-gallery.net/index.php/board,91.0.html
A quick search on 'zip' finds in that board:
    Topic: Download complete album als ZIP  (Read 46898 times)
    http://forum.coppermine-gallery.net/index.php/topic,74257.100.html

First post typically contains the downloads... There may be enhancements/changes throughout the thread that are not included in the download - it depends on the author and how active they are. This package is dated 2013 - so if you have issues - review the thread to see if others have fixed it. (not too many posts since then)