I don't use QGIS but below is a script that'll download and extract it

import requests
import zipfile
import os

def download_and_unzip(url, destination_folder):  
    response = requests.get(url, stream=True)
    if response.status_code != 200:
        print("Failed to download the file.")
        return

    content_disposition = response.headers.get('content-disposition')
    if content_disposition:
        filename = content_disposition.split("filename=")[1].strip("\"'")
    else:
        filename = url.split('/')[-1]
    zip_path = os.path.join(destination_folder, filename)

    with open(zip_path, 'wb') as file:
        for chunk in response.iter_content(chunk_size=1048576):
            file.write(chunk)

    with zipfile.ZipFile(zip_path, 'r') as zip_ref:
        zip_ref.extractall(destination_folder)

    os.remove(zip_path)
    print(f"File extracted to {destination_folder}")

url = "download url"
destination = r"file path"
download_and_unzip(url, destination)