If you only need the annotation file then add the following options to command shown by @jared.
--exclude-protein exclude protein.faa (protein sequence file)
--exclude-rna exclude rna.fna (transcript sequence file)
--exclude-seq exclude genomic.fna (genomic sequence file)
--include-gtf include genomic.gtf (gtf annotation file), if available
If GTF files are not available then GFF file will be only option.
Also, should it be in a .zip file on my desktop?
If you have disabled automatic zip archive expansion on your Mac, I expect you will see a Zip file downloaded to your default download location; perhaps the "Downloads" folder?
Your link doesn't have any files in it.