How do I download all files I have in Wolfram Cloud to my desktop?

You can use CloudObjects and CloudDirectory to find your files:

objects = CloudObjects @ CloudDirectory[]

{CloudObject["https://www.wolframcloud.com/obj/carlw/Base"], CloudObject[
"https://www.wolframcloud.com/obj/carlw/Copied Files"], CloudObject[
"https://www.wolframcloud.com/obj/carlw/Marathon"], CloudObject[
"https://www.wolframcloud.com/obj/carlw/Resources"], CloudObject[
"https://www.wolframcloud.com/obj/carlw/marathon"], CloudObject[
"https://www.wolframcloud.com/obj/carlw/trash"]}

Here is the first cloud object in the "Copied Files" directory:

obj = First @ CloudObjects[objects[[2]]]

CloudObject["https://www.wolframcloud.com/obj/carlw/Copied Files/01-starting-out-elementary-arithmetic-exercises.nb"]

Once you find the right directory, you can copy them with CopyFile:

CopyFile[obj, FileNameTake @ Information[obj]["Path"]]

"/Users/carlw/Desktop/01-starting-out-elementary-arithmetic-exercises.nb"

This is the code I ended up using. It also looks into directories 1 level and copies those files too.

localBackupPath = "C:\\Users\\";
objects = CloudObjects@CloudDirectory[];
type = Information[#, "FileType"] & /@ objects;
allObjects = 
  Flatten[MapThread[
    If[#2 === Directory, CloudObjects[#1], #1] &, {objects, type}]];

CopyFile[#, 
   FileNameJoin[{localBackupPath, 
     Information[#, "DisplayName"]}]] & /@ allObjects