How to download files safely to your PC using Application Guard on Microsoft Edge

If you're using Application Guard on Edge, these are the steps to allow file download to your physical device running Windows 10 Pro or Enterprise.
Windows Defender Application Guard (WDAG) is a feature available on Windows 10 Pro and Enterprise that creates a container using virtualization technology allowing to isolate a Microsoft Edge session to protect your data and device from malicious attacks.
The only caveat using this feature is that online files you download will never save directly onto your device. In fact, settings, browsing history, downloaded files are kept isolated from your computer and then deleted when you exit your account.
In order to help users have a better experience, starting with the Windows 10 April 2018 Update (version 1803) there's a new feature to download files from the virtual container to your machine, and you can enable it using Group Policy or Registry.

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