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

Download the Lively Wallpaper app.

i. Download Desktop Installer ↓ ii. Download From Windows Store ↓

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.