The new Google+ interface for viewing photos does not provide an option to download an entire shared album which was a feature of the old PicasaWebAlbums interface. You can access the old PicasaWebAlbums site, and download entire albums through the following link:

https://picasaweb.google.com/home?noredirect=1

Ensure that you use the link above, with the "?noredirect=1" appended (it may not display in your address bar) and you will remain on the old PicasaWebAlbums site and will not be redirected to the new Google+ interface. You should be able to access the "Actions>Download to Picasa" menu item as before.