Go to your Admin CP - Style & Templates - Download/Upload styles.
Scroll down to the 'Upload Style XML file' section.
Browse your computer for the .XML file you should recieve in a style download.
Select Create new style.
And ignore style version.
Give your style a title, display order and do all the settings there. Then click 'Import'. Simple.
And what about all those other files that come along with the style where do those go?