My photos in icloud are not being downloaded to my computer

Hi,

I have a new computer, and installed iCloud for windows installed. I noticed that when I click to include photos in settings, there's no option (compared to my previous computer) to select where to download my photos.

And I noticed that none of my photos from iCloud have downloaded to my computer. How do I turn on the feature so that all my photos are synced to my computer as well? Thank you.