They should already be associated with photoshop so a simple double click should import them. If not, just go to the actions pane, click the small arrow, choose "load actions" and select your action
Or alternatively, if the file's aren't associated with Photoshop, you may want to associate them so that you don't have that problem again. To associate the files, browse to the files in explorer (whatever folder you saved them to). Find the action file, and right click on it, and select open with. A window will pop up asking if you want to browse the web for a program, or manually select one. Choose the "Select program from a list" option. You will be presented with a list of commonly used programs. If photoshop doesn't appear on the list already, you'll need to click the Browse button and browse to photoshop's path (Usually C:/Program Files/Adobe/(whatever version of photoshop you have) and select the photoshop.exe file (or something similar, the names could be different depending on what version you have.) Once you have that selected Photoshop, you'll be brought back to the window where you can choose a program. You'll see a little tick box that says "Always use this program for this type of file". Once you've done all that, click Ok. That should have you all fixed =).
Hey its very simple to install the action files in photoshop. Open photoshop and press the F9 button. It shows you the action window. after that click on the small side bar arrow. you can see there one option for upload new actions. Here is the image for details