If the blob is publicly accessible or you have a SAS url you can copy it directly by using wget or curl.
wget "https://blobstorage.blob.core.windows.net/azure/blob.deb?st=2021-11-11T07%3A56%3A00Z&se=2018-06-07T07%3A56%3A00Z&sp=rl&sv=2015-04-05&sr=c&sig=nKQz5BcWoUaASBzSW7Hv0TzfMbTFcf0f%2B5mMtmTwQ2A%3D==" -k -O "blob.deb"
Alternatively, you can install azcopy or Azure Storage Explorer.
Hope this helps! Let me know if these options do not work for you or if you have further question.
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