Hello, @פורסאן חאמד !
You can absolutely perform tasks and download files without staying connected to your PC (although I would make sure that you have the right to download the files in question as you wouldn't want your account flagged by security). Personally, I would recommend using a Virtual Machine and getting started with our Portal quickstart which only takes a couple minutes (do see my note on Windows 10 down below). Here's what you need to know:
Virtual Machine or Azure Virtual Desktop?
Virtual Machines tend to be the solution that single users are looking for while Azure Virtual Desktop examples tend to use 100 and 1000 user scenarios that target businesses. I've included links to both below so you can evaluate which solution works best for your needs.
Virtual Machines
Azure Virtual Desktop
A quick note when creating a Windows 10 VM
There are several operating systems to choose from when creating a virtual machine. While Windows Server and Linux operating systems include the cost in the hourly cost, Windows 10 is a bit unique in that the license has to be purchased separately.
For dev, test, and personal use the recommendation is to use a Windows client image (and you can purchase a Visual Studio subscription to unlock this):
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/client-images
For production use, you'll want Multitenant Hosting Rights:
https://learn.microsoft.com/en-us/azure/virtual-machines/windows/windows-desktop-multitenant-hosting-deployment