I want to move all my photos and videos from Icloud storage to my Microsoft Windows computer

i tried to move my photos and videos from iCloud by selecting All and then transferring to the computer but it said that it could not because there was to many photos and video's to download at once. Problem is, if i don't transfer all at once, i will forget where i left off and transfers same again and again... How can i transfer all at once to my hard drive on my Microsoft Windows computer?