Hi @Isna Darmuis
According to your screenshot, it seems that your SSMS has been downloaded successfully, but an error occurred when connecting to the database.
Depending on your error message, you might not have a CA-signed certificate installed in SQL's trusted root store. However, if you only want to trust the server's self-signed certificate, you can try ticking "Trust server certificate". Of course, the best solution is to deal with certificate trust issues.
For more details, you can refer to this link: https://stackoverflow.com/questions/17615260/the-certificate-chain-was-issued-by-an-authority-that-is-not-trusted-when-conn.
Best regards,
Aniya