If you plan to use it with FaceBuilder for Blender on a machine connected to the Internet, then you don't need to download KeenTools Core manually since our add-on is able to download and install it automatically. But if the machine isn't connected to the Internet, then you need to download KeenTools Core manually.
First, it's always good to review the installation instructions from our guide.
Anyway, if you have installed something and it doesn't work it's better to remove it first and relaunch Blender. Then please make sure you're installing the add-on zip file on the Blender add-ons page and then you're installing the KeenTools Core library from the installed FaceBuilder settings page.