With the .zip file downloaded you can take a look at its contents.

In it there will be all the Tiles in your Assembly, plus a few additional assets to help with modular building:

• Riser tiles
• several Connectors that you can choose from

The video previews the files in Blender (3d modelling software), but you can also just bring a file directly into your 3d printing slicer and look at it that way.

Each .stl file is already prepared for printing.  You will not need to add supports to through the slicer.  There are some rare items that have a few supports built in, and it should be an easy thing to snip them off.  I’ve prioritized ease of use here, and there should be virtually no cleanup after printing.