Hi Senthil,
File is always extracted on server and automatic download to local machine is not possible out of the box.
Hence I suggested to extract the file on campaign sFTP server.
You should be aware of the sFTP path of the instance. If not, if the instance is Adobe hosted, please contact Adobe support for exact path.
If the instance is hosted by you, ask the infrastructure admin for the path.
Regards,
Vipul