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To connect to an Autonomous Data Warehouse (ADW) instance, the correct answer is to download the Credential zip file. This zip file contains essential information and credentials necessary for establishing a connection to the database. It typically includes a wallet, which securely stores authentication keys and certificates needed for connecting to the ADW instance, ensuring that the connection is both secure and authentic.

The other options, while related to Oracle databases, do not serve the purpose of directly connecting to an ADW instance. Tnsnames.ora is used for network configuration and resolving service names to connect to Oracle databases, but it is not specific to ADW instances or the connection method required. The sqlnet.ora file is primarily for configuration settings regarding how Oracle clients connect to the database, and it does not include the connection credentials necessary for an ADW instance. Thus, the Credential zip file is the specific and necessary component for successfully connecting to the ADW instance.