There is no MsShellDlg2.ttf file to download. Trying to “download” it is like trying to download a shortcut label.
: Use it so they don't have to "hard-code" specific font names, allowing Windows to swap in the best-looking font for a user's specific language automatically.
Are you trying to fix a error in a specific program, or are you looking to customize your Windows system font? Using MS Shell Dlg and MS Shell Dlg 2 - GitHub
: You are trying to open a file on macOS or Linux that specifically calls for this Windows-specific logical font. Affinity | Forum Solution: How to "Get" MS Shell Dlg 2
Yes, via the registry (FontSubstitutes key). You could map it to Arial or Comic Sans MS —but that will make many old dialog boxes look very strange.