You put it into your "saves" folder that's in the "The Powder Toy" Folder and open the powder toy hold control on your keyboard (Ctrl) and an icon in the bottom right will turn white and it will say something like "Open from hard drive" click that and you should find a menu find the save you downloaded and click it
I'm assuming you mean after you've pressed download on a save that you have found on this website and want to open in powder toy? Just press download and go to powder toy and so long as you're logged in with the same account on the website when you press download as your powder toy it will have downloaded. Then go to the button you would normally use to view other peoples saves (bottom left corner) and click on it. The save should then appear and you can go on it.
If you want to double-click the stamp files and the powder save files, press Ctrl+I inside Powder Toy, this will associate the .cps and the .stm formats with TPT, so you can double-click them to open.