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In order to download a file from a SharePoint site locally in a desktop flow you can use the SharePoit dedicated action "Get file content". Right after that action you will need to convert the binary data to an actual file by using the "Convert binary data to file" action. Just make sure that in the file path you add the fill path of the file you wish to download - with its extension.
To Upload a file to a SharePoint site then you would have to go through the same process but the other way around. Use a "Convert file to binary data" action first, and the user an "Update file" (to replace an existing file) or a "Create file" action (to create a new one).
Download:
Upload: