You can't download files directly from the Shared view.

(You can also right-click the file, photo, or folder, and select Download.) To select a folder, rather than just its contents, you may need to go up or back a level to select the whole folder. To select all files in a folder, click the circle to the left of the header row, or press CTRL + A on your keyboard. (The left image below shows items in List view, the right image shows items in Tiles or Photos view.) (You can also select several files at once by selecting one file, scrolling down the list, then hold down the Shift key while left-clicking the last item you want to select.) To download individual or multiple files, select each item by clicking the circle check box that appears. On your OneDrive, SharePoint in Microsoft 365, SharePoint Server Subscription Edition, or SharePoint Server 2019 website, select the files or folders you want to download. Note: If you're downloading regularly from a Shared folder, you can add and sync shared folders to your own OneDrive.