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Open a browser and open your OneDrive (https://o365coloradoedu-my.sharepoint.com).
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Your files will download according to your computer settings (usually to a downloads folder). Check your downloaded content to ensure everything has transferred successfully before deleting any files from your OneDrive.
Please note: If you select multiple files or a folder, OneDrive will automatically compress (or zip) the files to make downloading easier. Simply double click the zipped folder and the file will unzip and you can check its contents.