Hi mandpw,
The Download folder contains your photos. Since the icon shows an iCloud, that means the photos are not on your computer. Can you right-click on the Downloads folder and choose "Always keep on this device?"
(This should also be in the Options button to the right of Photos in iCloud for Windows - see screenshot in my earlier post).
If you don't see the icon on the folder itself, when you open the folder you will see the status icons on the individual thumbnails. See the screenshot below.
Set up and use iCloud for Windows
Download your photos and videos from iCloud Photos
"New photos and videos you add to iCloud Photos will automatically download to your PC. You can also download your collection by year when you follow these steps:
- Open a File Explorer window.
- Under Favorites, click iCloud Photos.
- Click Download photos and videos.
- Choose the photos and videos you want to download and click Download.
Your photos and videos download to the location you set in iCloud Photos Options."
When you turn on Photos, iCloud for Windows creates a Photos folder in File Explorer called iCloud Photos. iCloud Photos uploads new photos and videos that you add to the iCloud Photos Uploads folder on your PC so you can see them in the Photos app on your iPhone, iPad, iPod touch, and Mac, and on iCloud.com. New photos and videos you take automatically download from iCloud Photos. You can also choose to download your entire collection by year. "

Turn off or uninstall iCloud for Windows
If you turn off a service in iCloud for Windows, your information won't automatically stay up to date in iCloud, and you won't see updates made on your other devices. Follow these steps to turn off a service or iCloud:
- To turn off a service on your PC, Open iCloud for Windows, then select or deselect that service. To save your changes, click Apply.
- To turn off iCloud for Windows, open iCloud for Windows, then sign out.
If you want to uninstall iCloud for Windows, remember to make a copy of your iCloud data and save it on your PC."
Archive or make copies of the information you store in iCloud
Take care.