Download the file (.gz) from the above site and copy it to your data directory.
Open QGIS and go to the toolbar or menu: Layer > Add Layer > Add Vector Layer.
In the Data Source Manager window, select the Vector tab.
Change the Source type from 'File' to Directory.
For the Source, select the dropdown and choose OpenFileGDB (or just browse to the .gdb folder).
Click the … (Browse) button next to the Source field and navigate to your .gdb folder (e.g., MyData.gdb).
In the next dialog, select the specific feature classes (layers) you want to add from the list.
Click Add, then Close.