To create such a file, you have to select all the invoices concerned in your list of invoices and then click on Actions > Generate PDF.
You will get a PDF file containing all the selected invoices one after the other, to be sent quarterly to your accountant, for example.
To easily select all the invoices concerned, you can use the filters available in the list of invoices.
You can also create a zip file containing all PDFs as separate files. For this, you simply have to select the correct option under Actions.