To install a new plugin, simply download it to your plugins/ directory, then use it just like any of the built-in plugins. Sometimes, a plugin comes with its own assets (javascript, image, and css files) which you would put in the codex/assets folder.
These assets are loaded on an on-demand basis. In other words, only the javascript files you need for your plugins in that specific page are loaded, increasing the load speed. The same applies to images and css files.