Once you have safely downloaded the file to a convenient location (like your desktop), follow these steps provided by the National Institute of Mental Health :

Because ZIP files can hide various types of content—including potentially harmful software—it is critical to follow security protocols before clicking "Save."

: Be aware that if your internet connection drops during the download, the ZIP file may become "corrupted," meaning it won't open correctly and may need to be downloaded again. Zip and unzip files - Microsoft Support