displayserver has an option which will save one big tar file of the first harddisk to your PC, but I heard there were problems when exceeding 4Gb. It's probably windows that has this limit.
Another option is using some kind of software which allows you to copy a complete webserver. Set the starting point to http://<ip-address of empeg>/mp3list.html and it will duplicate the playlist structure including mp3's to your local PC.
The filenames of the MP3's will be : "artist - album - title.mp3"

Frank van Gestel