The most effective way to add the vdb cloud into your scene is by appending the collection. Click File - Append and then go to your downloaded folder. Open the blend-file and click Collection and finally the collection's name (In this way you will load the vdb's, prepared with the volumetric shader)

Or... Open blender and then open the blend file from your downloaded folder.

Or... import the vdb's

You can import the vdb's through the volume menu. Shift + A and go to the Volume submenu. Mark all files at the vdb folder with A and import them

How to make the looping VDB's in Blender endless