Did the file come as a zip? If so you may be able to unzip it right to the Microsoft FSX directory.
Also, there is usually a read-me file that comes along, that should also give you the directions. If none of that is an option you need to open the file with the downloaded plane, as well as the opening the FS folder. Then take the contents of each folder (usually there are effects, sounds, and simobjects). Take the files out of each folder from the download, and drag and drop it into the folder from FS that has the same name. The Simobjects folder should contain another folder most likely called Boeing 737-300 or something like that, and move that folder to the Airplanes folder in the Simobjects folder in FSX. If you have any other questions feel free to PM me.