Planner and Projects 3 online - getting this onto desktop app

Hi, 

We have been using Planner and Projects 3 online for the last few months and we needed a bit more functionality, so we downloaded the Project Professional desktop app as per the instructions.  Now I want to get all my plans/projects that is in my planner and Projects 3 online accessible or available in Project Professional on my desktop and I have no idea how to do this; please can you assist. 

I cannot find a way to download paths or files from online to a local drive to be able to open them in the desktop app.