One way is with Thunderbird, another way is with the Google interface, as follows:
When you're in your gmail account, there is a profile icon in the top right corner. It might look like a blue person, or it might have a custom photograph you uploaded. Click on it, and choose "Account." Now click on "Download data" under "Account tools." Click on "Select none," and then click to the right of Mail in the alphabetized list. There is a little arrow just to the left of the green checkmark. Click on that. Choose "Select labels", choose appropriately, and at the bottom of the page, click "Next." Choose the appropriate delivery method (Drive or email), and click on "Create archive." I tried this out and it hadn't finished yet after half an hour, for a label with a dozen short messages. While it was working, a message was displayed saying "Please note that mail archives may take a long time (hours or possibly days) to create."
If it gives you trouble -- thunderbird works great. Your gmail label will show up as a folder in thunderbird. And that will correspond to a folder in your thunderbird profile.