How to export email from iCloud to PC?

Trying to export/download email from iCloud account to my PC for use in ediscovery software.

I tried from iCloud.com but right clicking on inboxes provides no downloading option.

I installed iCloud for windows 10, but there is no Mail, Contact, Calendars and tasks selection. I only see iCloud Drive, Photos, Bookmarks and at the bottom Storage. I can see contents of iCloud drive though just fine.

I setup a Mail app account in windows that syncs to my iCloud account. I can see all the e-mails there but I see no option do download,file save-as, or anything.

Any suggestions would be greatly appreciated.