"how to download these files on to my local machine?"
There are 3 choices: (1) Double-click the name of each file and it should begin downloading; (2) Click "Download As ZIP file," and it will zip all files into a single zip archive and begin downloading it; (3) Click "Import to my Cloud Drive." If you do not have a Mega account (it's free, they give you 50Gb) it will import the files to a temporary account (not sure what the point of this is); If you do have a mega account, the files will be transferred to your account and stored there so that you can download them whenever you want.
P.S. - Actually if you just right click on the file name you'll see the three options: import / download or download as zip file.