How do I import a component library?

Hi all,

Figma noob here. Trying to design a desktop app, and I’d like to use this design system/ui library:

After clicking “Get a copy” on the second link, Figma opens, with a large file containing the many components. On the User Guide page, I see the following instructions.

I have no idea what what the 2 files mentioned are and what it means to connect a “Library” to “Components.”

My gut approach to designing my app right now would be to scroll through the components and copy and paste them into my design. I feel like there has to be a better way or some product feature for doing this. This seems like a basic question, but after surfing the web and this forum a bit, I truly do not have the answer. Can someone help me out?

Blessings,
Eric