Your working directory is just a folder in your computer you could simply download the file on that folder like you would do with any other file.
Now to load the data into memory (I think this is what you mean by "open it") you can use the read.csv() function.
Check the documentation to learn how to use it
https://www.rdocumentation.org/packages/utils/versions/3.6.2/topics/read.table
If you need more specific help, please provide a proper REPRoducible EXample (reprex) illustrating your issue.