You can download a document from your document library, chat, or common library at any time.
Find more information on the common library on the dedicated help page.
To download a document from the library, open it with the icon then click on the icon on the document of your choice. The download will start automatically: all you have to do is select the location of your choice.
To download a document from the chat, simply click on the image of the document, the download will start automatically: you just have to select the location of your choice.