Once you have downloaded your new sample library which contains Kontakt Files, make sure you have put them into your desired sound storage area - this can be anywhere on your computer, it's just so you know where they are - it's not really a good idea to leave it on your Desktop or in your Downloads folder. We place all of our sound files onto a secondary 1TB hard drive, to save space on our main drive.
Note: If you link your sound files into Kontakt and then go on to move the original files, it will break the link within Kontakt. So you will have to tell Kontakt where to look for the files again. This is why it is best to move them first. If your sound storage area is getting a bit messy, try to create some additional master folders within your Sound folder; 'Zero-G', 'Big Fish Audio' folders, etc.
Open up Kontakt and select the 'Files' tab. On this screen you will want to navigate through your hard drive to find the location of your new sample library.
Once you are in the library you can then simply double-click (or drag & drop) one of the Kontakt instrument files (.nki) and it will load it into Kontakt.
Note: You must have the library file in the bottom-left Kontakt browser window to double-click the files.
Kontakt Libraries are accessible via the 'Libraries tab', and Kontakt formatted files are accessible via the Files tab, more details available here.
Going back and forth from one tab to the other can slow down your work flow, so this is why Native Instruments have included a handy Quick-Load feature in Kontakt, which you can custom set up to access all of your Libraries and Files in one quick location. For more information, please see our "Guide To" video linked here.