1: Open LFS folder
2: Open "Data" folder
3: Open "Set" folder (IIRC--it should be full of other .set files)
4: Copy the setup you downloaded into this folder. *
5: Run LFS.
The new setup should appear in the setup list setup screen (upper right). Just click on it and there you go.
*The file should be named something like "X_X_coolsetup.set", where X_X_ is the name of the car (i.e. XF_GTI or XR_GT_TURBO). DO NOT change the "X_X_" part of the filename. Otherwise the setup will not appear properly.