Probably better to use sf than rgdal it is just a better package for working with spatial data.
You could do this:
library(sf)
temp <- tempfile()
download.file("https://geoftp.ibge.gov.br/organizacao_do_territorio/malhas_territoriais/malhas_municipais/municipio_2015/UFs/PR/pr_municipios.zip",temp)
data <- st_read(unz(temp, "41MUE250GC_SIR.shp"))
# Unzip the contents of the temp and save in temp2
temp2 <- tempfile()
unzip(zipfile = temp, exdir = temp2)
# Read using sf
municipios <- st_read(temp2)
Thanks for answering @williaml ! And to plot a graph similar to the one in the question, how do I do it? I made plot(municipios), but it shows two maps.