First of all, be sure that Photoshop is CLOSE.
Installing
.ASL files could not be much easier. You simply need to copy the file to the correct directory. If you downloaded the layer style set in a zip file, you can just extract the
.ASL file straight to the right place. That "right place" is in the
Presets directory of your main Photoshop program folder, under the subdirectory
Styles. For example, using the default installation path for Photoshop CS2, my layer styles reside here:
C:\Program Files\Adobe\Adobe Photoshop CS2\Presets\Styles\
Simply copy the file there, and the next time you start Photoshop, the layer styles will be available from your style set menu.