If you are using Internet Explorer and click a link to an X-Setup plug-in (*.xpl) you don't have to do anything. X-Setup will automatically copy the plug-in to your plug-in directory and tell you that a new plug-in has been installed.
If you don't have downloaded the plug-in, you can simply copy the file to your plug-in directory using the Windows Explorer. To see which folder is your plug-in directory, select "Options" from the "File" menu inside X-Setup.
Note: When you install a new plug-in while X-Setup is running, you have to press the F5 key inside X-Setup to make the new plug-in visible. If X-Setup isn't running during installation this is not necessary.