Q: How do I download all pictures from iPhone to MacBook Air? When I delete a picture on my phone it deletes from my Mac and I don't want that.k

You only have one set of pictures, wherever you look at them from, they are the same pictures. That is why you can't delete from one only, there is only one set of pictures. If that is not what you want don't use iCloud.

Sounds like you are using iCloud Photo Library, which, by definition, is a single place where all your photos are stored, and anything you do to them from anyplace is reflected on all places. Here are some support articles that explain how iCloud Photo Library works:

iCloud Photo Library FAQ - Apple Support

iCloud Photo Library Help - Apple Support

If you do not want what you do on your device to be propagated to the iCloud Photo Library, you need to turn it off on your device under Settings>Photos & Camera. You will then have to import your photos to your Mac to get them uploaded to the iCloud Photo Library from your Mac.

Best of luck,

GB

Which will cause the pictures to be removed from the photo library and then put back there. It won't fix the issue, they will still be in the iCloud Photo Library, (where they are now) there will be no change.

Until the OP Gets them out of the photo library.