What exactly did you download?
If you downloaded an .rpm file, prefferably an rpm prepared specifically for Fedora, double-clicking on the package shoul make your system try to install it. It may fail though, and tell you there are some missing dependencies...
Take a look at
www.fedorafaq.org to learn how to properly set up yum to install packegs that have been specifically prepared for Fedora and aal their dependencies easily.