The downloaded wallpaper is a zip or mp4 archive file. So you need an app to play it.

Download the Lively Wallpaper app.

Launch the Lively Wallpaper app.

See the steps as below.

Step 1. Click the '+' button.

Step 2. Open the wallpaper zip file.

Step 3. Double-Click the wallpaper to play as Screen wallpaper.