Installing Downloads in The Sims
If you did a standard installation of The Sims, it will be located at C:\Program Files\Maxis\The Sims\
Most downloads for The Sims come in .zip files - to get them out of the .zip file you will need a program like WinZip. (WinZip is free, and it will work after the trial period expires)
There is a program called 'Sims File Maid' that will automatically put your files into the correct locations.
If you want to put the files in your game yourself :
Objects (.iff files) go in \The Sims\Downloads\   You can have as many subfolders and sub-subfolders under Downloads as you want.
Skins (.cmx , .skn, and .bmp files) go in \The Sims\Game Data\Skins\   You cannot have any subfolders inside the Skins folder The game will not recognize anything that is in a subfolder.
Walls (.wll files) go in \The Sims\Game Data\Walls\   You can have subfolders in the Walls folder but you can't have sub-subfolders (So Walls\TheSimsResource\ works but Walls\TheSimsResource\Floral\ does not)
Floors (.flr files) go in \The Sims\Game Data\Floors\   You can have subfolders in the Floors folder but you can't have sub-subfolders (So Floors\TheSimsResource\ works but Walls\TheSimsResource\Floral\ does not)
Note: When installing a hacked object or NPC, you should always read the 'readme' file that comes in the zip file. It may have special installation instructions.
Third-Party Programs
You may wish to change the categories objects show up in, or change the price or the object description. A good program for that is SimWardrobe's SimCategorizer. SimEnhancer's Object Manager also works nicely, though you have to buy the program.
You can view and change the prices of walls and floors with SimWardrobe's Wall Categorizer.