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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:
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:
If you need anything else, leave a comment below. I'm here for you. Have a great day!