Q: iCloud Photo Sharing

I have the iPhone 6S.  Not sure if that matters, but there it is.

Anyway, there's an album that I am a member of through the iCloud Photo Sharing (section between photos and albums).  I am trying to determine how I can take these photos and videos off of the shared album and onto an external hard drive.  They're not listed when I go to iCloud.com, and I am not given an option to do anything, i.e. save, download, copy, with the videos.