Where to put new files

Where precisely you put files that you have downloaded does depend on what TeX distribution you have. However, assuming that you have one of the modern TDS-compliant distributions (such as teTeX, fpTeX or mikTeX) there are some general rules that you can follow:

(1) Always install new files in a local texmf tree. The root directory will be named something like: 

 teTeX:          /usr/share/texmf-local/
 fpTeX:          c:\fptex\texmf.local\
 mikTeX:         c:\localtexmf\
Let's write $TEXMF for this root, whatever it is for your system.

(2) In your local texmf tree, imitate the directory structure in your main tree. Here's some examples of where files of given extensions should go: 

.sty, .cls or .fd: $TEXMF/tex/latex/<package>/
.dvi, .ps or .pdf: $TEXMF/doc/latex/<package>/
.mf:   $TEXMF/source/tfm/<supplier>/<font>/
.tfm:  $TEXMF/fonts/tfm/<supplier>/<font>/
.vf:   $TEXMF/fonts/vf/<supplier>/<font>/
.afm:  $TEXMF/fonts/afm/<supplier>/<font>/
.pfb:  $TEXMF/fonts/type1/<supplier>/<font>/
.ttf:  $TEXMF/fonts/truetype/<supplier>/<font>/
Where of course <package>, <font> and <supplier> depend upon what's appropriate for the individual file.