Aight, in Photoshop, the little window with the styles tab. Click the Styles tab then click the arrow. A little drop down box will appear, click "Load Styles," then find your downloaded style and select open.
Your new styles will appear in the style window from then on
As for styles, Adobe Exchange has a bunch of them -- They are great for that sort of thing.
Here's a direct link to the Photoshop section:
http://share.studio.adobe.com/axBrowseProduct.asp?p=2
Bub