Good afternoon, @GRS1 ...
If you use your course "Files" screen, are you following the directions to download a file (or files) in this Guide?
How do I download a single file as an instructor?
You can also use the Ctrl button on your keyboard to select multiple files all at once (files that aren't next to each other), or you can select a range of files by pressing the Shift key on your keyboard instead to select the first file and then the last file in a range of files you want to download. Then, use the download icon as shown in the Guide that I've linked above.
The other option for you is to download the entire course. You can do this from your course "Settings" page. The exported file will download with an extension of *.imscc. However, you can change this extension to *.zip, and then you'll be able to unzip the file like any other zip file. The files you are looking for will be located in a folder within that zip file.
How do I export a Canvas course?
Hopefully one of these options will work for your needs. Keep us posted here in the Community...thanks!