You will need to manually install it. Scripts come with readme files and installation instructions. Usually it consists of downloading the script to your computer, unzipping it, upload the files to your account (usually in a subfolder of public_html), create a database in Mysql in the control panel, create a database user there also and add it to the database, run the install file and provide the requested info. Some scripts won't have an installer so you may need to edit the config file manually.