I have created an album from iCloud now I want to download it onto a memory stick, how?
You can do this a few ways.

You can select all the pictures in the album and go to File > Export and export the individual pictures with the options it offers you.

You can select the Album and go to File > Create > Slideshow. Select the options you want then click Export at the top right.

If you want a duplicate of what is displayed in the web page, Adobe Acrobat can create a PDF of that web page. But it requires the paid version. There are likely other programs that can do the same.

Once these files have been created it is simple to then copy them to external media.