Many people ask this question and I guess if you don't know then it is a valid one. That is why I have wrote this quick guide to help.
Firstly unlike the saves you download from the software the saves on this forum will not always be .gsx they can be a few types but are all generally accepted by the xploder software. A few examples would be .Dat, .save and .Bin.
To open the saves you will need a program that can extract compressed archives. The one that most people use and is generally conceived as a good program is winrar. You can get it free
here just click on the language you want.
Once you have installed the software right click the save that you have downloaded from the forum and then press extract here or you can extract to a pre-named file based on the name of the archive.

Now open the folders until you are at the save.

All you do now is just drag it onto your profile in the xploder window. (please note you do not drag the folder you have to drag the actual save within it.)
This method should work fine but for some reason (mainly with Vista) some members can't do this. If you are unable to do it in the above method then
you can get round the problem by disabling Vista's "User Account Control" following the steps
here
The other way is to use xplorer360 to add the file to your memory card and then press copy to pc in xploder. Once you have copied to your pc just drag it back to your profile and it will resign it for you.
Read more about this method in the post
How to use XPLORER360 and Xploder together - Xploder Forums - Blow Your 360 PS3 Wii DS & PSP Games Wide Open