PYTHON and EXE's
Download your plug-in or Python file (this assumes you have Python-fu installed)
Place the file/files if more than 1 included, in your

C:\Documents and Settings\myUserName\gimp 2.0\Plug-ins folder.
You have to restart Gimp for the new Plug-in to work, or show up in your menu's.

SCM SCRIPTS
Download your SCM script and place it in your
C:\Documents and Settings\myUserName\gimp 2.0\Scripts folder.

No restart is necessary, just click Script-fu/Refresh Scripts in your Filters drop down menu.