If you use the web browser method like AI said, you cannot select all and download in one batch. It’s got download limit so you need to break it into batches.
Also by default it will go to downloads folder. Browser will not prompt. You need to go to browser settings. Search for download and find the option about asking before download, turn it on first.
if you are using the app option to download, you need to reinstall app. When promoting where to install choose the external drive. Then the rest of the AI instructions can work.