To use downloaded objects, you need to put them in a folder according to the type of object. For example, for objects like lamps, cupboards, tables are normally named (something.iff) and you would just copy and paste them into C:\Program Files\Maxis\The Sims\Downloads (assuming you installed the sims into your program files directory)

Downloaded floors go: C:\Program Files\Maxis\The Sims\GameData\Floors

Walls: C:\Program Files\Maxis\The Sims\GameData\Walls

Skins: C:\Program Files\Maxis\The Sims\GameData\Skins

You get the idea... that should work hope it helps