This tool lets you download a polygon shapefile. Click the “draw polygon” button on the left-hand toolbar and draw a shape covering the area you are interested in. Then, click “Download Shp.”
Your output will be a “compressed archive” named “shpExport.zip” because shapefiles consist of several constituent files. One includes the coordinates, another sets the map projection, etc. If you want to view the shapefile in a GIS program (like QGIS or ArcGIS) you will need to extract the files. If you just want to download City of Milwaukee data for this geography, upload the shpExport.zip file directly to the data download tool here.