Sorry, your question is a bit confusing.
If you don't want to use iCloud, then simply don't store your pictures in the iCloud Photos folder in Windows Explorer.
The Windows Photos App does not directly save photos to iCloud and every other folder on your computer is local and not on iCloud.
Unless you actually manually have moved your photos to iCloud by copying them into the iCloud Photos folder in Windows Explorer, nothing should be in iCloud.
click here ➜ Set up and use iCloud Photos on your Windows PC - Apple Support
If you already have photos in iCloud you wish to download, then simply copy them out from the iCloud Photos folder and into another folder on your Windows PC, then delete them from the iCloud Photos folder.