In V-Ray 6, the library is seamlessly integrated with the browser, Chaos Group's online repository for 3D assets including materials, models, and HDRI skies. However, for a truly independent workflow, moving this library entirely onto your local hard drive is the ultimate goal. This allows for instant access to all these high-quality assets without a single click of a "download" button while you're working.
You cannot download this directly from inside 3ds Max/SketchUp/Rhino if you are currently offline. You need to use a machine with an internet connection.