After downloading the files, you'll want to copy them to your patch folder for Reason. If you haven't created one, consider a cloud + local solution like Dropbox to safely backup and store all your patches. (HT: Ian McIntosh)
From the "Create" menu, select "Create Instrument" and navigate to the files included in this collection. Double click or drag that instrument into the file to add to the Reason Rack.
If you receive a missing sounds notification please see this article.