Photos that have been shared with you can easily be copied into your own Photos.
To do this, simply open the share link of the photos/albums on your computer. If you are already logged in to myCloud, your browser opens automatically and shows you the content of the share link. Otherwise, first log in to myCloud in your browser and then click on the share link.
Then simply select the photos you want to copy into your photo library and choose "Copy to my photo library" in the blue bar at the top. Now you can see the photos in your own Photo library.
You can also add the selected photos directly to an album. To do this, click on "Add to album". You can then either create a new album for the photos or select an existing album into which you want to add the photos.