At step 3. Did you right click on the downloaded zip file --> Extract All to a location on disk? If so,
At Step 8. Expand This PC in the left panel of the Add Folder Connection window --> click on
drill down in the right panel to find the target folder where you Extracted the data to --> click on that folder --> OK
You should now see the folder and its contents in the Folders section of the Catalog pane.
You can alternately do this from the Catalog pane by right clicking on the Folder icon --> Add Folder Connection.