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Banking
Thank you for posting in the Community, @arielson.
The supported file when importing bank transactions in QuickBooks Desktop is (.qbo) file.
To download web connect files, here's what you'll need to do:
- Go to the File menu at the top.
 - Choose Utilities, then Import.
 - Select Web Connect Files.
 - Locate the QBO file you saved, then Open.
 - When prompted to Select Bank Account, choose Use an existing QuickBooks account if the account you are importing the transactions into is already set up in QuickBooks or Create a new QuickBooks account if the account you are importing the transactions into is not yet in QuickBooks.
 - Hit Continue and OK.
 
Once done, go to the Bank Feeds Center to review your transactions. For additional information on this process, I recommend the following article: Import web connect (.qbo) files.
Just in case, I'll add these articles for future reference:
- Import and export data in QuickBooks Desktop
 - Get started with Bank Feeds for QuickBooks Desktop
 - Import/export CSV files
 
If you need anything else, leave a comment below. I'm here for you. Have a great day!