Assuming that you downloaded it as a rar or a zip or such-- unzip it and extract the contents somewhere. You should at least have a file called "level.dat" and you might have a bunch of other files, plus a bunch of folders named with letter/number combinations. In either case, if all of that is already in a folder, just rename the folder to "World1" or "World2" or wherever you want it to show up when you start the game. If it's not in a folder, then create one to put it in, again named "World1" or "World2" or whatever. Then find your minecraft installation (it can be in different places depending on the operating system you use-- if you search the forums or google, you should be able to find out where it is on your system) and move the folder you just made to the folder there named "Saves." If you've already got a "World1" or "World2" or whatever number you picked, then it'll ask if it's okay to overwrite it, and assuming it is okay, say yes. Then start the game, go to the right numbered world, and it should be there and playable.
Minecraft worlds