You need to install Unreal Engine on your computer. Then you need to download the project files to your computer. Then you open the downloaded .uproject file. GitHub is only for sharing and storing the code, but all the actual work happens on in your local program with local files.
For a one-off download you can download their GitHub repo as a .zip. But to keep up to date on it you’ll want to use the GitHub client app (or another Git program) to “clone” the repo so you can continuously pull updates as they come in.