Setting up the Office 365 Deployment Tool.
Step 1
Download the latest deployment tool, currently that is 201 and can be found here.
https://www.microsoft.com/en-us/download/details.aspx?id=49117
It might also be found here:
https://technet.microsoft.com/en-us/library/jj219424.aspx#BKMK_DownloadC2R

Step 2
Save the deployment tool, to a designated folder:

In this case, desktop\365 deployment test\

Run the deployment tool -> checkbox/ then continue -> choose the save location -> Click ok on the “files extracted successfully” window.

If done correctly, you will have 3 files in the folder \desktop\O365 Deployment Test\
Step 3.
Edit the configuration file to download the files. (recommend the use of notepad++)

Change the configuration by editing this part of the .xml file
IF SAVED LOCALLY.

Save the XML, and open a CMD window.
Desktop\O365 deployment test

Step 1

Result

Step 2