Can I download jw library on my Mac air?

According to this, it is compatible with Windows (not mac):

https://www.microsoft.com/en-us/p/jw-library/9wzdncrfj3b4?activetab=pivot:regionofsystemrequirementstab

You can purchase a necessary Windows version and install it on your Mac using Bootcamp; then you could download that library on that partition.

To learn how to download items in general please read Download items from the web using Safari on Mac.