Keep photos and videos downloaded in iCloud for Windows
In iCloud for Windows, you can choose which photos and videos stored in iCloud Photos are downloaded to your computer. You must download a photo or video before you can open it.
You can pin an individual photo, video or your entire iCloud Photos folder to keep it downloaded on your device. If a photo or video is pinned, you see 
next to the filename in File Explorer.
Note: You can’t pin photos and videos in iCloud for Windows version 7.
Pin a photo or video
On your Windows computer, open File Explorer, then click iCloud Photos in the Navigation pane.
If you don’t see iCloud Photos, click Pictures in the Navigation pane, then double-click iCloud Photos.
Right-click the photo or video you want to pin, then choose “Always keep on this device”.
When a photo or video is pinned, “Always keep on this device” has a checkmark next to it.
Unpin a photo or video
On your Windows computer, open File Explorer, then click iCloud Photos in the Navigation pane.
If you don’t see iCloud Photos, click Pictures in the Navigation pane, then double-click iCloud Photos.
Right-click the photo or video you want to unpin.
In the shortcut menu, choose “Always keep on this device” to remove the checkmark and unpin the item.
Unpinning a photo or video doesn’t remove it from your PC. To remove it, see Remove iCloud files and photos to free up space on your PC.
If a photo or video is deleted on another device that has iCloud Photos turned on, it’s deleted from your computer as well even if it’s pinned. If you want to back up photos or videos to your PC, copy them to a different folder. See the Apple Support article Archive or make copies of the information you store in iCloud.