Hi there, MATTHEWJP1971.
I see that you're having a problem downloading photos from iCloud to your Windows PC, and I'm glad to help with this.
Set up and use iCloud Photos on your Windows PC -- The first screenshot you shared is showing that you have iCloud Photos turned on. The steps to manually download your photos and videos are under the heading, "Download your photos and videos from iCloud Photos".
If iCloud isn't syncing your photos and videos automatically to your Windows PC, make sure that you have iCloud Photos turned on on your iPhone under Settings > [your name] > iCloud > Photos.
If it was already on, open iCloud for Windows > Photos > Options and turn off iCloud Photo Library for 10 seconds or so, then turn it back on and see if your photos and videos appear on your computer.
Let me know how that goes.
Take care.