First you need to go to the Event Search page so you can find the particular Event you want to download (see the Event Search support page for more details)
Once you've found the Event you want you can you can use the "Sitrep" and "Download Media" buttons to download what you need
SitRep - Downloads a PDF report of the event including all the audit information
Download Media - Downloads a ZIP with all media associated with this event
Media is automatically and permanently deleted after the number of days specified in your Data Retention Settings. Once media has been deleted the "Download Media" button will be disabled/greyed out.