How do I download this app to my mac

Messages is already installed on your Mac.

Navigate to the Applications folder.

Right-Click on the Messages app and select "Make Alias".

Drag the alias from the Applications folder onto the desktop.

A better idea:

Launch the Messages app.

Right-Click the Messages icon on the Dock and select Options > Keep in Dock.

Run the app from the Applications folder and the icon will appear in the dock then drag the icon to the left side of the dock to keep it there. See below.

https://support.apple.com/en-gb/guide/mac-help/mh35859/mac

right click or double click on app, make alias, then drag alias to your desktop.