How do I export my photos from iCloud to an external drive and cancel iCloud subscription?

Photos can’t be transferred directly from iCloud to an external hard drive for that you need to set up iCloud photo library see the article Set up and use iCloud Photos - Apple Support (IN)

And its preferences Change preferences in Photos on Mac - Apple Support (IN) , open finder > Go > home > your user name > pictures either drag and drop Photos Library.photoslibrary to an external hard drive , the second method is right click on Photos Library.photoslibrary and click on show package contents in the upcoming column , you can also drag and drop complete masters folder to an external hard drive that is connected .

Also as per the article Back up your photo library on Mac - Apple Support (IN)

• Manually copy your library to an external storage device: Drag the Photos library (by default in the Pictures folder on your Mac) to your storage device to create a copy.
• See this article also Photos library - Move your Library to an external storage device

Note : in Mac OS catalina 10.15.2 the folder name is " originals " , and in Mac OS mojave it was " masters "

For cancelling iCloud subscription see If you want to cancel a subscription from Apple - Apple Support

Ok, go to finder>(Your username)>pictures and you will see photo library, now, go to Photos>Photos>Preferences and check download and keep originals, now, what for the computer to load, then go back to the finder window, drag the the photo library file into the drive. Now, wait for the computer to load, then go back to Photos and you will find a path button, click that and navigate over to were you dropped the Photo library and click on it, then click the blue open button and then your photo library should load.Now you can delete your iCloud subscription.

Please check over this before you do it because I would hate to lead you to a dead end, with trouble on all sides.

It's not clear what you want for your end product. There are decisions you need to make:

• Do you want only your original picture files with no edits or comments or crops or other changes?
• Do you want only the versions of the pictures as they've been edited and commented?
• Do you want to have pictures to be imported and viewed by non-Mac computers, or
• Do you want to continue to use the Mac's Photos app to view and edit the pictures?

The Photos app keeps the original pictures, but it only adds the edits when exported, so to keep both as individual picture files means two different downloads and about twice the storage. Keeping the pictures in a Photos Library means they can be exported later with a Mac, and they take less storage and will maintain any Apple-only attributes (like live photos, face names, etc) that are not exportable.

Keeping the Library intact can put off the other decisions until later, but if you're using Windows that may be pointless.