Save the action you downloaded to your desktop or some other easy to find folder in your documents. Open Photoshop. Click open the Actions panel. Open the Actions context menu by clicking on the little menu button to the upper right of the Actions panel. Scroll down and you'll see a command for Load Actions.......... . Click on it. It will open a window accessing your hardrive folders. Scroll to where you downloaded the .atn file. When you've found it, highlight it, then click "Load". This will post the Action to your Action panel. Note, this is how it works for CS4. I believe it's essentially the same process for CS3, though I've stopped using that version so I don't recall if there are any significant differences.