Once you download the plug-in, install it under PSP's "plug-ins" folder (My Documents - My PSP Files - Plug-ins).
Depending on which plug-in you are getting, installation either consists of unzipping the file to the folder (you can create subfolders for each plug-in so that you keep things better organized) or by running the plug-in's setup file (an .exe file).
Once you have everything in the proper folder, open PSP and look for the plug-in under the Effects menu.