Hello Aitor,
The best way I found to download chained/linked scripts is to do so from Foundation. If you find the main script in your Transaction Script list, click the little arrow next to the name to open the Properties of it. Then click on the Documents Tab. You should then see the list of scripts that are chained/linked in the Linked/Multi Files section. I right click and download each from there.
If you do not have Foundation, and doing that from Studio, you need to go to the Run tab>Data Settings in the ribbon you should be able to select each of the scripts. You would need to go through them all and then once one is open, you can save that.
I hope this helps!
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Scott Gorski
General Mills | Process Automation COE
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