Are you using the Photos.app on your Mac? You could create a new, empty Photos Library on the external drive and then enable it as the iCloud Photo Library. All photos will download from iCloud to this library.
To download individual photos from www.icloud.com as Larry recommended try it like this:
- Sign into www.icloud.com with your AppleID and open the Photos.app on the page.
- Open the album with the photos you want to download.
- Click "Select Photos" next to the word Upload on the right hand side above the pictures,
- Click the first photo in the album.
- Hold down the Shift key and scroll down.
- Click the last photo in the album while still holding down the Shift key. All photos will be selected. (I tested in Safari and Firefox)
To scroll quickly it helps to have the scroll bars enabled to show alway in the System Preferences > General. I have the scroll bars set to jump to the spot that is clicked.