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You can actually zip the folder on your local machine, upload the whole zip file and use the button 'Uncompress to current folder' in the right window of the dataset view (see attached picture).
For the specific tutorial you are looking at, you can also use a 'Download ' visual recipe to download the MNIST archive: https://github.com/myleott/mnist_png/raw/master/mnist_png.tar.gz. And then uncompress the file as mentioned before.