Why are my downloaded objects not opening with materials and textures in Rhino?

I am completely new to using Gradcad and was suggested this website to have access to downloadable assets compatible with Rhino 6/7.

However, I am faced against a problem that I have no idea how to solve.

When I download the asset I want, I open it with Windows Explorer and open the Rhino/autocad file attached. However, my object's textures or materials associated with it, does not transfer into my Rhino file. How can I fix this?
And/or what am I doing wrong?

I attached an example of what I am seeing with this pdf.
Please let me know if you can help.