pgndownloads

The CSV is just a table of wins and losses (and a few other things). You can't download all the PGNs at once unfortunately.

PGNs are really just replays of chess games. You can view them right on this site either by importing the game or by just clicking 'Replay and analyse'. It is the same as what a chess program would do, but with a lot more easy-to-reach functionality.

If you want an OFFLINE chess program to view them, I suggest PyChess (http://pychess.org/). Unfortunately it's Linux-only. I don't know about Windows programs, though I heard Shredder Chess (http://www.shredderchess.com/) is good if you're willing to pay for it.

It is very nice to study one's own games in your own laboratory (IE, using engines and you own database on your machine). For this I would really love it if my games were automatically appended to a pgn file on my machine. Most serious sites do this, and for me, NOT being able to do this is why I will leave chess.com; preferably coming permanently to Lichess, which I like a lot, so far.

It's still on the todo list. But currently there are lots of other features pressing for development.