I want to let registered customer or customers who paid anual fee can see more contents or download links. Can anyone tell me how to do it?
You can manually manage Customer Groups via the admin area.
If you want to use those groups to control access to certain content pages, you'll have to do custom programming to create your content management and use the group information to control access.

Another question is if customer choose several products, after checked out, how can I show all the download links in one page.
Zen Cart does this automatically for purchased downloads. All the download links will appear on the Checkout Success page, as well as in the My Account area under Order History.

You might find these articles useful:
https://www.zen-cart.com/tutorials/i...erms=downloads