A shapefile is a vector data storage format for storing the location, shape, and attributes of geographic features. A shapefile consists of a set of related files and one feature class. These files can be opened in a number of GIS desktop applications such QGIS, ArcGIS, or Google Earth. Shapefiles can also be open in R, using packages such as sf, or in Python using packages such as GeoPandas or Fiona.
To use these files simply download the .zip file and then unzip all the contents of the zipped folder into a new location. The unzipped shapefile can then be opened in any of the programs listed above by following the instructions associated with that program.