Welcome to the Community, @lenaraiwa. The supported file when importing bank transactions in QuickBooks Desktop is (.qbo) file. 

Here's how to download web connect files:

1. In the File menu, choose Utilities, then Import.
2. Click Web Connect Files. 
3. Locate the QBO file you saved, then Open.
4. When prompted to Select Bank Account, select the Create a new QuickBooks account.
5. Click Continue, then OK. 

Once done, go to the Bank Feeds Center to review your transactions. For additional information on this process, check out this article: Import web connect (.qbo) files.

Just in case, I'm adding these articles for future reference:

• Import and export data in QuickBooks Desktop
• Get started with Bank Feeds for QuickBooks Desktop
• Import/export CSV files

Feel free to leave a comment below if you need more help. I'm here for you. Have a great day!