I've been perplexed by this too, so hopefully my experience may help you. Referring to the Web browser approach to iCloud, once you've logged in, you should see a welcome message, along with your name, below it "Account Settings>" and below that a set of icons : Mail, Contacts, Calendar, Photos, etc.
- If you don't see the above, then let us know, as there may be something else wrong.
Clicking on the Photos icon takes you to the iCloud Photos screen... which displays a list of your photos.
Sadly from here, this is where the User interface design is confusing.
The default display mode is "Moments", where the photos are displayed as thumbnails sorted by date, and location vertically.
In this mode, in order to download Photos, you need to select them first (there's no download all function..., and no simple select All function AFAIK).
When you hover the mouse over a photo, you should see to the right a blue "Select" appear...
- if not, then maybe "Javascript" has not been enabled within your web browser.
Selecting one or two photo's using this "Select" function is okay, but if you want to select a large number, then it's cumbersome (see later).
* To Download
Once you have some photos selected , the "Cloud" icon at the top of the web browser (with the downward pointing arrow) should now be available (i.e. not a really light grey color). Clicking this will produce a zip file containing the selected photo's which will then be downloaded to your default "Downloads" folder on your PC.
... Now a I mentioned above, this approach is not very helpful when it comes to downloading a lot of Photos...
- Downloading more than a few Photo's ...
From the top of the browser display, select "Photos" rather than Moments, The display now changes to displaying your photos as thumbnails (smaller sized pictures of your actual photos) and by Month/Year.
In this mode, you have a Shift-Select operation whereby you can select a continuous sequence of photos, by clicking upon the First photo in that sequence, and whilst holding down the Shift key, click upon the last one - all should now be highlighted.
With all highlighted you can follow the same download instructions as above.
Hope that helps.