Hello, this is Emily.
When you use OneDrive, it usually by default turns on OnDemand feature, meaning it will turn your files into cloud copies, and what you see locally are links to the cloud files, not an actual local copies.
But you can do the following to keep those files as local copies as well.
Make sure you have the OneDrive app up and running, please follow these steps closely:
Right click on the OneDrive cloud icon on the lower right on your taskbar to go to Settings.
On the "Sync and Backup" tab, click on "Advanced Settings" to expand that section. Then under File On-Demand, click on "Download all files".
Give it plenty of time to allow the files to be downloaded from the online cloud. On your computer's file explorer, you can observe the OneDrive folder and its folders/files inside. You want all of the green checkmark icon to turn solid green with a white checkmark. Depends on how many files you have, this process can take a while, so please be patient.
Once all the files have turned solid green, these are local copies. They still sync with OneDrive, so if you delete it, it will delete it from OneDrive too.
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If you want to have them also on external drive, you will need to manually copy them to the external drive.