The basic approach is here that you have a URL (Web address) that points to the location of some geospatial data file. Always be careful when opening data from the internet, although I have not yet heard about any weaknesses in QGIS being exploited. The most common files that can be opened directly from a web store in QGIS are GeoJSON and KML for vector data and TIFF files for raster data. For an overview of geospatial file types, see the Table of common geospatial data formats.

For vector files, open the “Data Source Manager” from the layer Menu (Ctrl-L) or from the “Data source manager toolbar” if that is available.

in the left-hand tab, choose Vector (red arrow), then chose Protocol (green arrow) and finally, enter the URL (blue arrow). in this case the URL is https://earthquake.usgs.gov/earthquakes/feed/v1.0/summary/significant_month.geojson which returns all significant earthquakes from the last 30 days; see https://earthquake.usgs.gov/earthquakes/feed/v1.0/geojson.php

In short:

1. Open QGIS.
2. Click on the “Layer” menu, then select “Add Layer” and “Add Vector Layer.”
3. In the dialogue box that appears, select “Protocol” as the source type and then enter the url https://earthquake.usgs.gov/earthquakes/feed/v1.0/summary/significant_month.geojson into the URL field.
4. Click “OK” on the dialogue box. The GeoJSON file should now be loaded into QGIS and displayed on the map.

Read the article “Sharing GeoSpatial Data on Google Drive, GitHub, WordPress etc.” to learn how to share data on the internet so others can open It as described in this article.