Effects

Any effects supplied usually come with a readme file from the creator explaining how to install them.  I've noticed most these days include an installer, but CS4 is an older version of the product, so I'm assuming that these are older effects.

As Mylenium says, you either have a plugin, which the extension is .AEX or a preset, which is a .FFX file.

On your computer, navigate to:

C:\Programs\Adobe After Effects CS4\Support Files

And place the AEX file in the plug-ins folder or the FFX file in the presets folder.

Then start After Effects.  If the effect appears in your comp with a red cross or other distortion, then it will require you to register it.