Most will be in zip formats so unzip them first with winzip or other zip extractor, 7-zip is a free one.
If the extracted folder contains exe file run it and follow directions, may say to path the files into windows or windows\system32 folders by default, if the file is a scr place it into your windows or windows\system32 directory - the latter is the best. Then select your screensaver as you normally do - it should now be listed.