1) First Download and Install 'Microsoft Azure Storage Explorer' by following the instructions on the page https://azure.microsoft.com/en-us/features/storage-explorer/.

2) Open the 'Microsoft Azure Storage Explorer' application, and select the Open Connect Dialog button (Plug Icon):
Open Connect Dialog

3) The Connect to Azure Storage interface will show options for connecting to the storage account. Choose the Use Shared access signature (SAS) URI option then select Next:

Use Shared Access signature (SAS) URI

4) Copy this string: https://emidatasets.blob.core.windows.net/publicdata?sv=2018-03-28&si=exp2020-12-31&sr=c&sig=7AB6rWqiWNl87RgAck6U9oOUMhmp6EOZXm1mfAbq%2Bvc%3D 

Paste it into the URI:
Paste string into the URI

Please not that the SAS token will expire, so this value may change over time.

Select Next

5) You will be shown a Connection Summary, check the values and select Connect:

Connection Summary

6) You should now be presented with access to the Blob Container and the folders:

Blob Containers and folders