You can download the data by country in several file formats. This is the recommended approach. You can also download the data for the entire world. Using spatial data requires some technical sophistication.
The current version is 2.8 (November 2015). It delimits 294,430 administrative areas. Version 3 is expected to be available by April 2018.
The data are freely available for academic use and other non-commercial use. Redistribution, or commercial use is not allowed without prior permission.