Here is one way it works. Go to your archive, select the live games in the filter, click the select all link (which will checkmark all the games) and then click the Download PGN button (which will send an e-mail with an attachment).
I don't know what it will do if you have more than one page (I only have one) but I assume it would only give the ones on the current page and you could repeat the steps for each page.
Not sure why the link at the bottom wouldn't take the filter into consideration. Does that link just give your online or live and online?
is there no option to download all your live games at one time? do i just have to go through all of them to download them?
i tried to download all my games using the process explained below but it did not work.
(from the "My Chess Game Archive" section, I had it set to show me all my live games. I selected the link at the bottom of the page that says "Download all my games in one PGN", but it only downloaded my online games, not my live games).