How to load downloaded action files into Photoshop for playback.
First download and save the action file (a file with .ATN extension) into a folder. Personally, I save my action files into c:\program files\adobe\.
Now open Photoshop and go to the Window menu. Make sure that Actions is checked.
Here is the docked palette, with the Actions tab selected. Click on the circled button then click Load Actions
After clicking Load Actions, you will get a Load window. Navigate to the folder which you just saved your action. Select the action file, and click load.
Each action file must be loaded individualy, so you will need to repeat the last two steps.
Actions are placed into their own folder at the bottom of the Actions list. You can rearrange the order of the action folders.