You need to turn off OneDrive's folder backup feature.
Look at the bottom-right corner of your taskbar, near the clock, and click the blue or white OneDrive cloud icon. Click the Gear icon (Help & Settings) and select Settings. Go to the Sync and backup tab on the left and click the Manage backup button. Turn off the toggle for Documents, along with any other folders you want to keep local. Confirm by clicking Stop backup or Keep local only when prompted.
Next, open File Explorer and go to C:\Users\jsgri\OneDrive\Documents. Select your files and press Ctrl + X to cut them.
Navigate to your local folder at C:\Users\jsgri\Documents and press Ctrl + V to paste the files there.
After confirming that the files are now in the local Documents folder, delete the old shortcut (.lnk) file if one was created. Your C:\Users\jsgri\Documents folder should then point directly to the local Documents folder rather than the OneDrive location.
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hth
Marcin