You can use the approach using the installation GUI that Sean describes above.  Alternatively you can place your package yourself (and remove it by hand if you shoose to) in one of the following directories.

For use of only the user who is installing it palce it in the directory that opens using this command:

For it to be accesible to all users of the system place it in the following directory  that opens using this command:
 
Be careful not to put it in the AddOns/Applications folder of the Mathematica installation since this will be updated and overwritten if you update your copy of Mathematica.

Try putting it in the AddOns/Applications folder (if you're on Windows).

I don't think external packages are overwritten if they are in the AddOns/Applications folder on updating.

Thanks all
David
   My «Add-Ons packages» has ".iso" and ".exe" files format. indeed, i downloaded one file that contain several packages with ".iso" and ".exe" files format.
Commands that you said are for ".m" files or do this applicable for that files i downloaded?

That files is:
Wolfram Mathematica Wavelet Explorer 1.2.2.iso
Wolfram Mathematica Time Series 1.4.0 Win.exe
Wolfram Mathematica Parallel Computer Toolkit 2.1.0.iso
Wolfram Mathematica Finance Essentials 1.2.1 Win.exe
and «NeuralNetworks» folder.

Best,
Vahid