Well, it depends on what you downloaded.
Objects Dock icons, backgrounds, etc. need to be put in the Object Dock directory in their respective folders (tiles, zoomers, tabs, etc.).
Windowblind skins install themselves.
Logons install on double click, once installed, you can delete them, unless you want to archive them, in which case you decide where you want them.
So on and so forth.
More specific info from me would require more specific info from you.