How do I download files in "my documents" from the cloud to my computer?

You can drag and drop them to your desired folder on your Mac while holding the Option key:

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Copy files from iCloud Drive to your Mac

1. Click iCloud Drive in the sidebar of any Finder window. 
2. Press and hold the Option key and drag the file to a new location.

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copied from: Archive or make copies of the information you store in iCloud - Apple Support

Or do this:

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Work with iCloud Drive files offline

If you're about to go offline, you can download iCloud Drive files locally to work on while you're not connected to the internet.

On your Mac

1. Click iCloud Drive in the sidebar of any Finder window. 
2. Open the file, or control-click the file, then select Download Now. 
3. Any changes you make to the file will automatically upload to iCloud Drive when you're back online. 

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copied from: Access and manage your files in iCloud Drive - Apple Support