iCloud User Guide
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Pin files and folders in iCloud for Windows
If you’re using the iCloud for Windows app version 10 or later, you can pin individual files or folders or your entire iCloud Drive folder. Pinned items are always downloaded to your device.
Find out which version of iCloud for Windows you have.
If a file or folder is pinned, you see 
in the Status column in File Explorer. See View file download and sharing status in iCloud for Windows for a list of icons and what they mean.
Pin a file or folder
On your Windows computer, open File Explorer, then click iCloud Drive in the Navigation pane.
Right-click the file or folder you want to pin.
In the shortcut menu, choose “Always keep on this device”.
Unpin a file or folder
On your Windows computer, open File Explorer, then click iCloud Drive in the Navigation pane.
Right-click the file or folder you want to unpin.
In the shortcut menu, “Always keep on this device” has a tick next to it. Choose “Always keep on this device” to remove the tick and unpin the item.
To remove an item from your Windows computer, see Free up space on your PC using iCloud for Windows.