Need to download my documents and get Dropbox off computer as it's taking too much space

I want to remove all documents and photos off drop box and put on an external hard drive. Drop box won't let me copy over to external hard drive. I need to delete Dropbox from computer as can no longer work. Killing my storage and use of computer. Help. I need to do this fast but not lose my photos and documents. How can I ensure the photos and documents are not just links to drop box? I want to be free of drop box as wrecking my computer