how can i use While Loop to capture all (e.g.) a tags?

you could use Loop While Recorder:Capture Object exists - then use wildcards in the selection for the capture so it can be iterated through.
 

A better way would be to captue the webpage as a file, then use a string operation to find each instance of the “<a href=” string and extract the url using something like a regular expression.

There are many different ways to perform this operation, you might need to go back and redefine the process.