An "album" is just the last name in the path - i.e., a picture in /DCIM/Camera/Christmas would be in the "album" Christmas. You can download that folder (the /DCIM/Camera/Christmas folder), but what you're really doing "under the hood" is creating a folder named Christmas, then downloading all the pictures to it, one by one. If the USB port (or whatever means you're using for downloading) can't handle that much data at once, you'll have to manually create the folder, then manually copy the pictures individually.
"Albums" are an android artifact, used in some Android photo apps - they don't actually exist, and won't in a PC or other non-Android device.