The file you downloaded should have the extension .zip or .rar, you extract (aka unzip) those with winrar.
When you extract them, you typically upload the extracted file in the directory that should be on your server, called ./wp-content/plugins/
Anything (well, technically to two levels – that is, files directly in the folder and files within folders within that folder, nothing deeper) within that directory should be recognized by wordpress and are available for activation through your plugins page in your acp.