Transfer photos from iCloud to SD Card

I purchased a digital picture frame and need to add pictures to an SD card and I am unable to do so. I have watched many tutorials and still they want to download to my PC. I don’t have enough storage on my PC so the download is incomplete. When I hit the download, I do not get an option of where to store the photos. So I am not sure what to do next. I even tried connecting my phone via USB but it takes me back to iCloud and I am still unable to download the photos to my SD Card.