You can easily install the dictionaries by double-clicking on them in Windows Explorer after downloading them. The installation program will ask if you are sure you want to install the dictionary. No other questions will be asked.
If you have Windows Vista or later, the dictionaries will install themselves into %APPDATA%\JGsoft\Dictionaries under your Windows user profile by default. If you have Windows XP or earlier, the default installation folder is C:\Program Files\JGsoft\Dictionaries. If you want to install them into a different folder, you can do so by specifying the folder on the command line when installing the first dictionary. If you install more dictionaries later, they will automatically install themselves into the same folder (even if you would specify a different one on the command line).
Important: HelpScribble will only detect that you have installed a new dictionary when you start it. If you install a dictionary while HelpScribble is still running, it will not appear until you have closed HelpScribble and restarted it. (It will not cause any problems, though.)