There are two parts to playing a custom puzzle set: installing it on your computer, and loading it into Lode Runner. Read only the sections relevant to you.
First, download one of the zip files and save it somewhere on your
computer. (In Windows 95, just saving it to your desktop is fine.)
Run Windows Explorer or File Manager, locate that file, and
double-click on it. (If you saved it to your desktop, just
double-click on it there.) This should start the WinZip program.
(If the "WinZip Wizard" opens, press
.)
Now, you should see a list of files, one or more of which end in
".pzl" (or ".lvl").
Press
or Ctrl+E to open up the
Extract dialog box.
Where it says "Extract to", type in: c:\sierra\loderunn\puzzles, or, if that directory doesn't exist, just c:\sierra\loderunn. Of course, if you have installed Lode Runner somewhere other than the default location on your computer, you will have to type in that location instead. (For Lode Runner 2, type in the directory in which you installed LR2.)
Make sure the "All Files" radio button is selected:
.
Press 
at the upper right of this dialog box. (The files will now
be decompressed.)
Close WinZip.
- otherwise -
I don't know much about Macintosh, but I think the general outline of what you have to do is:
You will see a list of puzzle files. Select the one you want.
Now press the "Play Homemade Levels" button:
.
Then press the Load button: 
Now you should see a list of puzzle files. Choose the one you
want and double-click it.
Then press the small Play button at
the lower-right:
- or -
While playing a game, press Alt-L.