how to download server's data on AWS platform and save them on external desk

If you have SSH access to the EC2 you can just scp https://linuxize.com/post/how-to-use-scp-command-to-securely-transfer-files/

If you use SSM Session Manager you copy the files to S3 (cli command aws s3 sync or aws s3 cp), then download the files to your computer using the same command or using the console. You will need to give the EC2 an IAM role that allows the s3:PutObject API, or add ad S3 bucket policy that allows the s3:PutObject from the EC2. And you will need s3:GetObject permissions.

Hope it helps!