Thanks for clarifying! I recommend you:
- Select SHP, then Non-Commercial use
- Unzip the downloaded file WDPA_WDOECM_Jun2021_Public_555594126_shp.zip
- Alongside many other folders and files within it, you’ll now see WDPA_WDOECM_Jun2021_Public_555594126_shp _0 .zip. Unzip this second .zip file to extract the contents
- You’ll now be able to add the .shp to your QGIS project