Download a File From SharePoint Online Document Library

Download-FileFromSPO.ps1

Add-Type -Path "C:\O365_CSOM\Microsoft.SharePointOnline.CSOM.16.1.6008.1200\lib\net45\Microsoft.SharePoint.Client.dll"
Add-Type -Path "C:\O365_CSOM\Microsoft.SharePointOnline.CSOM.16.1.6008.1200\lib\net45\Microsoft.SharePoint.Client.Runtime.dll"

function Download-File
{
    [cmdletbinding()]
    param
    (
        [Parameter(Mandatory=$true)][Microsoft.SharePoint.Client.ClientContext]$ClientContext,
        [Parameter(Mandatory=$true)][System.Uri]$FileUri,
        [Parameter(Mandatory=$true)][string]$Path

    )

    begin
    {
    }
    process
    {
        if( $FileUri.IsAbsoluteUri )
        {
            Write-Verbose -Message "Loading by AbsolutePath"
            $fileInfo = [Microsoft.SharePoint.Client.File]::OpenBinaryDirect( $ClientContext,  $FileUri.AbsolutePath )
        }
        else
        {
            Write-Verbose -Message "Loading by OriginalString"
            $fileInfo = [Microsoft.SharePoint.Client.File]::OpenBinaryDirect( $ClientContext,  $FileUri.OriginalString )
        }

        try
        {
            $fileStream = New-Object System.Io.FileStream( $Path, [System.IO.FileMode]::Create )
            $fileInfo.Stream.CopyTo( $fileStream )
        }
        finally
        {
            if( $fileStream )
            {
                $fileStream.Close()
                $fileStream.Dispose()
            }

            if( $fileInfo )
            {
                $fileInfo.Dispose()
            }
        }
    }
    end
    {
    }
}

$contextUrl   = "https://contoso.sharepoint.com/sites/teamsite"
$documentUrl  = "https://contoso.sharepoint.com/sites/teamsite/SubSite/Documents/Updates.docx"
$downloadPath = "C:\_temp\Updates.docx"

$credential = Get-Credential

$clientContext = New-Object Microsoft.SharePoint.Client.ClientContext($contextUrl)
$clientContext.Credentials = New-Object Microsoft.SharePoint.Client.SharePointOnlineCredentials($credential.UserName, $credential.Password)

Download-File -ClientContext $clientContext -FileUri $documentUrl -Path $downloadPath

can you guide me how to do it?

This code is nearly 8 years old, I highly recommend using something like Get-PnPFile over this code.