I assume you're trying to upload the file to ArcGIS Online. Be aware the file contains pdf files as well as shapefiles, I'm not sure how well ArcGIS Online handles that as it recognizes the shapefile and classifies it as shapefile. Anyway, just uploading seems to work for me:
- Download the file locally
- Click new item in the content page
- Select "Your device" in the upper panel
- Navigate to the local file
- Select "Upload zip only" (this is where you might get there error if you're trying to publish a feature layer from the selected file)
You're good to go
