Install VirtualBox as well as the Oracle VM VirtualBox Extension from Oracle's VirtualBox website: https://www.virtualbox.org/wiki/Downloads.
Double click on the latest Kali *.ova. VirtualBox will start and ask you to import the VM. You can change the name, and make sure to check "Reinitialize MAC addresses of all network cards". Then click next untill the end (you can change these settings later).
Once the VM is imported, click on Configuration. Go to the Network tab and create two adapters: