It is done for you.
The script will be run automatically when you install the "Arduino Mbed OS RP2040 Boards" platform via Boards Manager. However, it will only exit without setting the udev rules if it was not run as root. In that case, you will need to run the script manually. The script is installed along with the "Arduino Mbed OS RP2040 Boards" platform, so you'll already have it on your computer so you can run it like so:
sudo ~/.arduino15/packages/arduino/hardware/mbed_rp2040/2.0.0/post_install.sh