Step 1.
This point of interest dataset has 7 layers, there is no single zip file for download.
https://services.arcgis.com/RmCCgQtiZLDCtblq/arcgis/rest/services/Points_of_Interest/FeatureServer
You can open these remote 7 layers on desktop ArcMap, Arcgis Pro, qgis, then use export feature function to save it to your local hard drive as geodatabase or shape file
Step 2.
Click it to download Arcgis Online item file
https://www.arcgis.com/home/item.html?id=c5a91c789041455485de39a45d0aae0c#overview
Step 3.
After download it, now open it use arcgis pro. Then you can export layer to geodatabase in Arcgis Pro.
Step 4.
Add new connection to arcgis server.
Step 5.
use arcgis rest api endpoint as new connection URL
open each of 7 layers, export layer to shape file
Step 6.
Step 7.
all layers is in shape file on your hard drive now