Edit: this is now covered by the manual entry on installing third-party addons.
Newer plugins and behaviors support .c2addon packages. If the plugin developer distributes a .c2addon file, simply download it then drag and drop the file in to the Construct 2 window. Construct 2 will ask you if you want to install it. (This is only supported in r120+, so check your Construct 2 version if it does not work.)
Older addons are usually just a collection of files. You need to close Construct 2 and copy the folders to the install directory - one of the following depending on whether it's a plugin or behavior:
In these folders each plugin and behavior has its own folder with a couple of files in it. Copy the plugin or behavior you've downloaded there, launch C2 again, and you should see it in the editor!
Effects are slightly different: they're just a .fx and .xml file. These go in the effects subfolder in the install directory.