how to download photos from icloud, i can only download one by one now, cannot choose many from pressing shift button

One by one or sync to Photos by enabling iCloud Photo Library and letting them download to it (if you do not want all of your photos uploaded to iCloud start a new blank library and set it as the system library and log in and let them download - then set the original library as the system library)

LN

Apple remove the ability to use shift key some time ago. Hold down the command key while selecting the photos. Then click Download. Another option is to select a Moment, then click the Share button, and then cancelling the Share. The photos should remain selected.