without running it....
da would be a list of the filenames that were downloaded.
hh is of course the list of requests, which is useful for checking the HTTP Status and codes (if needed).
so
da[1] is the html filename of the downloaded file, that you then pass to Open.
I think since you didn't provide a filename then New Multi HTTP Request() will just generate a unique filename for each file and put them in $TEMP. That means they'd get cleaned up when JMP closes, which I think in your case is OK since you't making a JMP table from the HTML.
I think you can also use send (instead of download) and da would be a list of blobs. You can then pass say da[1] to Open telling it is a blob. That wouldn't page to the filesystem as html.
Sorry the documentation is a little sparse.
Let me know if you need more info.