Hi ohjna, as you ,may have guessed from my friends' comments, it's alittle hard to tell you how to "install the file to your computer" when we don't know what file you're talking about.
I think it's fairly safe to assume, it's a skin of some kind that you've found on the site, so I can at least give you some basic guidance.
Any skin that you see here (with the exception of those in the Wallpaper, Graphics or Litestep section) will need to be applied through the program for which it is designed. Therefore, if you want to use a Beatnik skin,m first you will need Beatnik. If you want to use a Windowblinds skin, first, you will need Windowblinds.
Once you have installled the program for the skin you require, each program has it's own way of applying skins. The best thing to do is to read any documentation that came with it, but you might want to try looking for an options menu or dialogue, or maybe something from a right click menu. Read the accompanying docs to find out more! (Always a good rule with any piece of software!)
Download skins from any one of the many skinning sites to an obvious place on your hard drive (C:\Downloads for instance) so that you know where they are when you want to install them.
More skinning sites:
http://www.deviantart.com/ full of lots of non-skinng stuff too
http://www.lotsofskins.com/ very youg and friendly vibe here
http://www.customize.org/ an older site, just enjoying a renaissance.
http://www.dezina.com/ slick interface here
theres lots more around.
Wallpapers don't need a program to install, you can do that right from your windows "Display" Control Panel.
Litestep isnot somethign for people who are intimidated by their computers or text files, it might be worth havign a look at shell enhancements like nextstart first.
To find out where to download your pgrograms from, hit the category name, and checkmout the info at the top of the subsequent page.