Bonjour Summersnow,
First, when you want to download a shader from this site, click on the shader's name, above the thumbnail. A window should pop-up, save the file to disk.
Then, launch XSI, open your scene, and select the object you want to apply the shader. Then open a Browser (into XSI). Browse to the shader file (.Preset file), select the .Preset file, then drag&drop it on the object. Now, hit 7 to open the Render Tree. The .Preset file has created predefined tree that you can edit as you want.
That's it!
Hope this helps
Salutations - Cheers
Bernard Lebel