On the Menu's ZModem is usually accessable under Send File (ZModem). Selecting the menu will firstly give you a listing of files which can be downloaded. Choose a file by number. In the pictured example file I have selected sale.scv to be downloaded, I did this by typing '22'.

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Next instructions are presented on how what to do next. After pressing Enter, from the TUN menu select Transfer > Receive. A remote copy window will appear, the main option to select is the Protocol "ZModem". Press receive and the file should download.

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