How to download
Most sites use "zips" for their downloads... these are compressed files, made and extracted by using a program like "winzip".  I admit, I don't have a clue what other programs are around for other systems, but there will be some, you just have to find them.  If you don't have it, you can download a free trial version. 

To download the item, you usually click on a text link (which will look like this) or click on the image of the item you want to download (Your mouse pointer should change to let you know something is a link).  Some sites might use previews, flash, java scripts and other things, which are a bit more complicated, and usually prevent you from saving the "target", but they should explain how to download.

There are usually 2 ways to download the item... 

1).  If you click on the text link  or image, it should download the file.  Once it had downloaded, winzip (or your program) will launch, and you can "extract" the contents to a particular place.  Sometimes you will be asked where you want to download the file to (Select the appropriate folder, or use your Desktop, or another folder so you can check the files and delete the "readme" files), other times it will just start downloading the file.

2). You can right mouse click the link and select "Save target as" or words to that effect (depending on your browser).... this will save the zip file to a specified location...

what's the difference?  Well sometimes downloads won't work by just clicking them... I find that if I am downloading several things at once, sometimes I can only have 1 winzip window open at once, so if I am extracting something and another download finishes, I kinda loose it, because it never opens.  so by saving the target, once it's downloaded, it will stay there and you can unzip it later.  It also means you can keep it zipped, which might be handy if you are saving it to a floppy disk or something.

Where do they go?
That depends on what the item is.... here is a guide...

Skins (Faces, heads, Bodies, Meshes, clothes etc.) - these are ".bmp", ".cmx" and ".skn" files.  They need to have all the files unzipped/extracted into the "Skins" folder of your "Gama data" folder.  They have to be in that main skins folder, they cannot go in subfolders.  Some zips will extract into sub folders, so you'll have to move them.

If you have Hot Date, the Skins you want your Sims to buy downtown should go into the "Skins buy" folder (Found in the Expansion pack 3 folder).  These will start with "L", "S", "F" or "W".  If you have Unleashed or Vacation and Hot Date, you can put the downtown skins in the "Expansion pack shared" folder instead - so that you can have the same clothing available downtown, on Vacation Island or in old town.

I find it useful to unzip them into a folder in "my documents' or somewhere else to check them and read the "readme" file first.  Then I delete any meshes and the readme and copy the rest of the files across to my skins folder.  You don't need the "readme" file... and you don't need the meshes IF you HAVE them already.  If you aren't sure, don't delete them...

Doors, Windows, Buy Objects (seating, plumbing etc.), Build objects (fences, plants etc.) - These are ".far" or ".iff" files.  These can go in 2 places... the "objects" folder in your "Game data" folder, or the "downloads" folder.  I put them in the Downloads folder.  These can go into subfolders.  I like to have folders for where I got the item from (Like "7DS"  or "SimWitch") to keep track of where I got my objects from, so I can go back and get more if I like them.  Apparently putting them in sub folders reduces the loading time...

Walls - These are the ".wll" files.. and should go into the "walls" folder in your "Game data" folder.  They can go in sub folders.

Floors - these are the ".flr" files... and should go into the "Floors" folder in your "Game data" folder.  They can go in sub folders.

Roofs - these are images ".bmp" files and should go into the "roofs" folder in the "Game data" folder.  They Cannot go in sub folders.

Houses - these are .iff files, sometimes they include walls and floors or objects as well... which will need to be put in their appropriate folders.  The houses need to go into the "houses" folder of one of the "user data" folders.  Each neighbourhood has a "userdata" folder... neighbourhood 1 is "userdata", neighbourhood 2 is "userdata2" and so on.  "House01.iff"  is the house that occupies lot 1 and so on.  It will override the current house on whatever lot it is though, so make sure you put it in a neighbourhood that has nothing on that lot, or one that you are happy to have deleted.  If there was a family in the house your new house overrode... that family will be moved into that new downloaded house.