How to Import ShapeFiles QGIS Editor

Now extract the downloaded shape-files and import the file that have .shp extension in QGIS editor manually (Data Source Manager -> Vector (add vector layer) -> Vector Dataset) or drag and drop shape-files in layers panel.
You can import shapefiles in QGIS editor in two way

Demo : Custom GeoJSON World Map for HighMaps

1. Manual way
 Data Source Manager -> Vector (add vector layer) -> Vector Dataset

2. Drag and Drop shapefile in layer panel
Now just drag and drag files layers panel.

Refer full tutorial how to create custom world map from shapefiles using QGIS. Create Custom GeoJSON World Map for HighMaps Using QGIS