Hello :) which wallet are you using? We mostly use Phantom here, but any Solana-compatible wallet should work
An email should have been sent to you by now. The one titled “Claim your NFT” is the one that enables you to download and transfer your NFT to the wallet.
Just set the wallet up, keep your phrase in a safe place, this will be your password.
After the initial set up is complete, the transfer should be easy - The wallet address is the “name” of your wallet that you use to send or receive the NFTs to. It should be displayed on your wallet. The claiming page will have a space designated for the entry of your address, to begin the transfer.
Here is a thread with images that will help you be more familiar with it: