How to download build output files from jenkins UI console itself

Use Archive the artifacts post-build step, it copies the selected artifacts in the artifacts folder.

Then you will be able to download the file from build page itself.

For Pipeline you need to add it in the pipeline script itself. Check for the corresponding groovy script for archive the artifacts or find the below example (this is a working code).

post {
    always {
            archive "project/embsw/debug/**/*"
           stash includes: 'project/embsw/debug/project_R0.bin', name: 'debugBuiltArtifacts'
           }
    }

Well, you can right click on "View as unformatted text" and choose "Save link as" to save log on your PC.