how to download microsoft SQL server management studio with Azure Data Studio in it?

The error you got is related to this part of the connection dialog:

If you just go with the defaults, you are likely to get the error. It may seem silly that the default settings results in an error, but security is a difficult thing.

I will try to explain what the security problem is about. Imagine that you work in an environment where you work with sensitive data, for instance finance or healthcare. If the connection to SQL Server was unencrypted, someone could plug in a network sniffer and get hold of sensitive data travelling from and to your computer. To encrypt the connection, you need a certificate. A simple solution to this is that you get a certificate from SQL Server. However, how do you that it comes from SQL Server? Maybe it comes from a man-in-the-middle who has plugged in a proxy, so when you think that you connect to SQL Server, you are connecting to that proxy which decrypts your data, and the data from SQL Server and saves it somewhere it should not be.

This can be avoided if the certificate for SQL Server is the Trusted-Certificate store on your computer (and has arrived there in a secure way). Rather than the actual certificate, you may instead have a root certificate with the same effect.

This is why the default settings. SSMS require you have a secure connection. Of course, if you are playing on your own laptop, all of this irrelevant. You don't have any sensitive data, and there is no network where a man-in-the-middle can plug in. So at home, you can change Mandatory to Optional to decline encryption altogether. Or you can check Trust Server Certificate to get an encrypted connection. And both of these are good at home. But none of them would be acceptable if you are working in a bank, in a hospital or in the defence industry.