If you don't want to use the Microsoft Store, you can using the way1.ps1 script to download WinDbg Preview.
Thanks for lzybkr who provided this script to show how the Microsoft Store works.
The windbg.appinstaller is a XML file which contains the information of WinDbg Preview (Metadata).
There is Uri in the XML file which points to the download link of windbg.msixbundle, and the windbg.msixbundle is a compressed file which contains the WinDbg Preview Appx package. Just open it as zip file, and you can see the msix files inside it then.
The msix file is also a compressed file, just decompress it as zip file, and you got the WinDbg Preview finally!