Once the Zip file is downloaded to your Computer, you'll need to Extract it and you'll get these Files:
Now If you want to install all 35 Headers on your site, you simply need the "All 35 Super Headers.json" file.
But If you only need specific headers, you can navigate through folders and install the one you like using the same method below.
Now to install all the Headers on your site, go to Divi -> Divi Library, and here click the "Import & Export" button at the top.
You'll see a Modal appear, simply upload the "All 35 Super Headers.json" file by drag & drop (or you can even select) and then hit the Import button.
Then, It will take around 10-20 seconds and will install the Headers on your site. Easy Peasy. All the Headers will be saved in your Divi Library and you can use any header on your site later on.