I'm not fully sure what you mean with the icon there so a screenshot would do wonders.
However, when you download a map, you must also install it if you haven't.
The maps usually come in a ZIP or RAR archive, these you must extract and then use the files the extraction gives. Though how to use zips is something people should rather quickly.
Once you have the files though you must put them into the exports folder here
C:\FeralHeart\exports
First when that is made, you will be able to play the map at all.
If you already got all those things down though, it's just to run the map "Cape of Distant Worlds" located in the game, and you should have a portal on the slope if the map creator made the map correctly, and you installed it where it should be.