Installing a new package http://www.tex.ac.uk/cgi-bin/texfaq2html?keyword=&question=43

Ordinarily, you should download the whole distribution directory;

A small package <smallpack> might be just a single .sty file

In the doc system, the user manual and documented package code is in the .dtx file, and the .ins file contains LaTeX instructions on what code should be extracted from the .dtx file. To unpack a doc package <pack>, do the following:

Run latex on pack.ins. This will generate one or more files (normally
a pack.sty file but there may be others depending on the particular
package).

Run latex on pack.dtx as a start to getting the user manual and possibly
a commented version of the package code. Run latex again on pack.dtx, if
it was called for, to resolve any references and generate a Table of
Contents.

[ ... deal with index ... ]

Print and read pack.dvi

Almost the final stage of the installation is to put the package file(s) 'where LaTeX can find them'.

The final stage is to tell LaTeX that there is a new file, or files, that it should be able to go and find.

Run:
texhash

document in which you want to use the pack package.