In regular desktop jAlbum, choose File, Import, Import Published Album. It will connect you to your jalbum.net account. Choose the directory that contains the album you want, then click Download. You will end up with a regular jAlbum project in the desktop software.
However, once you have done this, it can't be turned back into an "online jAlbum" album. Once you have modified and uploaded it, you will not be able to modify it using online jAlbum.