MiKTeX Options and then click Refresh Filename Database . Once you've done this, you can use your new package in a latex document.
Most packages come with instructions for installing.
You should read all documentation. General guidelines for installing are listed below. This will create lots of files which then need to be put in the appropriate place. Typically there will be a message in the DOS window indicating which files need to be moved, and where they should be moved to. Most packages are somewhat vague about where files need to be moved to.