Hello, and welcome to the forums!
The easiest way will be to open all the files in the editor and then use the Share Code feature at the bottom. Whichever files that are opened will be included in the export, then you can download the ZIP file.
By default, only the main.js file is opened on the Wanderlust project, but you have access to the others too. Click the folder in the top-left of the editor to reveal the others, then click on each.
Once you have them open in the editor, use the Share Code feature at the bottom of the editor
Keep in mind that after you extract the files you’ll need to recreate any folders you saw in the folder list and put the files where they belong.
One final tip, which you may not need with this particular project, but sometimes you’ll find the browser can be stricter when working with locally opened files. This VSCode extension can help in those situations: Live Server