A lot of Excel procedures are packaged in Add-Ins. An Add-In is basically a workbook containing some code, that has some other unique properties. The workbook is invisible. The workbook can be installed, which means it opens when Excel opens, so that its functionality is always available.
Installing an Add-In is really not complicated. If it came in a zip file, unzip it into an appropriate directory. You can use any directory you want. Excel has one or more default add-ins directories, depending on version:
C:\Program Files\Microsoft Office\OfficeXX\Library