Change your browser's default download location to wherever you want the files to be located. You must do this now because you can't select a new location once you click the 'download' button later.
Go into the folder that you want to downlonad. You can't just hightlight the folder and try to download the folder and its contents from here. You actually have to go into the folder first.
Select all the files you want to download. Do this either by selecting each one or by doing a select-all keyboard command.
Once all the files are selected, go to the top of the iCloud screen and click the 'download' icon (cloud with arrow going down). This will download all the selected files to your default download location (set it step 2). The files should not be downloaded in a zip format, they should come down exactly as they're stored in iCloud.