On the older models, if they haven't been set up to archive daily, the best way is to use the software provided in the box - Trip & Waypoint Manager - or Mapsource if you've got it which is the same thing beefed up.
This too will download everything all muddled up, but you'll get a list of Tracks which will be your saved tracks plus the 'Active Log' (which may be in several fragments). Just delete the bits you don't want and save the bits you do.
If you've set up the daily archiving (it's not set by default), then it's all much easier - just take the card out and put it in a card reader and copy the tracks across that way - you get everything, named by date.
On new model Etrexes, the archiving goes into the GPS memory, not the card unfortunately - in \Garmin\GPX\Archive\ - so you have to mount it as a USB drive, and be careful to unmount it cleanly afterwards.