There is no download function for keyboard shortcuts, so what exactly do you want to do with them?
If you downloaded an alternate set of keyboard shortcuts (in .kys format) and you want to load them into Photoshop, you can open the folder where they are stored and add your new keyboard shortcut preset file to that folder. I am not sure where they are in Windows, but on macOS, Photoshop loads custom shortcut sets from here:
Then choose Edit > Keyboard Shortcuts and choose your downloaded preset from the Set menu.
If you mean you want to export a list of the current shortcut set, choose Edit > Keyboard Shortcuts and click the Summarize button. That generates an HTML file (.htm) you can read in your web browser,