Most of the palletes, including the Styles pallete, have that little circle-with-a-black-triangle-inside button in the top corner. Clicking on that will bring up a context menu. In that menu, you can choose to Load your styles from wherever you have them on your computer. To put them where Photoshop will automatically list them (at the bottom of that menu), put the .ASL file(s) into the proper folder, which should be in \Program Files\Adobe\Adobe Photoshop XX\Presets\Styles. (The XX part depends on which version of
PS you have).
You'll notice that the Presets folder also has other folders for things like Brushes, Gradients, etc. They don't have to go there - you can put them anywhere on your hard drive that you like and just Load them - but that's where they need to be to be listed in the menu.