iCloud files versus saving on your MacBook Pro

I have no idea where my files went to on my computer. They were all saved in folders under my favorites to the left of the finder and all the sudden they were gone. And now I cannot even save a file I was working in. It is giving me the picture attached. I do see them all on iCloud, but they have a download button like the other picture. Ugh! afraid to turn off iCloud in fear of losing anything. I tried to give the file permission by going under Get Info, but it is not working and I cannot save my file anywhere on my computer. Please help.