You can find various extensions  at http://addons.mozilla.org.

When you see a link on a website to download or install an extension, simply click on that link. If you get prompted to save a XPI file, save it, and use File > Open File..., to open the file in Firefox.

You can also open the Add-ons window (Tools > Add-ons), and drag the link or file to the Add-ons window.