The OECD Main Economics Indicators is a database of major macroeconomic series for roughly 50 countries. This operation (on the Data/Graphics menu) downloads the current release of all the data for all countries. It creates (in the chosen directory), separate RATS format files for the individual countries named for instance USAOECD.RAT, FINOECD.RAT, where the three letter prefix is usually the country's ISO code. There are also two files named AGGOECD.RAT for "aggregate" data, such as totals for G20 countries, and ALLCOUNTRIES.RAT which has all the data across countries.
The amount of data varies considerably from country to country. The larger economies may have up to 1000 series, some dating back to 1960 (which is the earliest data point in the database), while some smaller ones may have only exchange rate data.
Note that this can (and generally will) take a while as noted in the dialog. All data files are created in the directory selected.