Hello,
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.
When all turn solid green, it means all files are stored locally as well, meaning, if you disconnect internet you can still open them.
However, very important, they still sync to OneDrive when you connect to internet, meaning, if you delete from OneDrive or local, deletion can sync across devices and cloud.