download files locally on a file server

PowerShell comes standard with Windows.

The reference is in English.
Copy-Item

There is an explanatory article like this.
How to transfer files in WinRM using PowerShell's Copy-Item cmdlet

If not, enable Windows PowerShell 2.0 in the Control Panel, Uninstall Programs, Enable or Disable Windows Features, or download a newer version of the package from Microsoft Download Center and install it.

The number of versions available for installation may vary depending on the number of OS versions used, but the latest version seems to be 6.0.

If you search for it, you will find various articles on how to use it.

According to the comments, it looks like a mac, but now it is supported on mac and Linux, so
You can probably use it the same way.Whether you want to use it or not is up to your liking.

Install PowerShell Core on macOS
Installing PowerShell Core on Linux

-Serial 】Introduction to PowerShell Core 【How to use basic commands 回7th 、Create, delete, copy, and move files and directories
Tried a cross-platform PowerShell on Mac OS X

Pre-specified Files

So the file name is fixed.

Suppose you are in the path smb://hoge-server/share/sample.xlsx.

In this case,

copy\\hoge-server\share\sample.xlsx sample.xlsx

You can create a one-line BAT file, save it on your desktop with a name like copy_xlsx.bat, and double-click it whenever you need it.

This way, unlike PowerShell, you don't need to give extra privileges when you run it for the first time.

However, if the file path contains Japanese, this method is not available because it will be treated as Missing Source File.