Direct link download (DOUBT)

I tried torrenting but its reallly slow so I want to do direct link download. Im new and this is my first time so bear with me

First I need to copy paste all the links into jdownloader2 and it autoextracts everything ??

what do I do after that . Do I need to use a vpn or do I need to be weary of getting hacked if I miss something ??? btw Im trying to download tomb raider