Once you enter the Data and privacy website, you will go directly to the Manage your data section. Once there, click on the Get started link in the Get a copy of your data section, which will take you to start the process with which you can download the data that Apple has been collecting about you.
Now you will go to a screen that will show you all the services with which Apple has been obtaining data about you. Here you have to choose from which services you want to download your data, and it is recommended that you select those from which you do not want to lose data. Once you have chosen your services, press the Continue button that you have at the bottom.
You will arrive at a last page, where you can choose the size of the files in which the data will be sent to you. After doing so, click on the Complete application button to finish the process. From here, Apple will take several hours that can vary depending on the amount of data they have, and then they will send it to the email linked to your account.