1. Go into Lightroom and click on Edit(top left beside file) on PC or Lightroom and then Preference for Mac
2. Click on Preferences
3. The Preference screen will pop up with several tabs. Click on the tab Presets
4. Click on the option named Show Lightroom Presets Folder ...
5. Locate the Lightroom folder
6. Double click the Lightroom folder and look for Develop Presets
7. Place the preset pack/files into the Develop Presets folder and you're good to go! Restart Lightroom and when you're back in, the presets will appear on the left side.
7.1 EDIT (This is for anyone using latest version of Lightroom CC)
With the latest version of Lightroom CC udpate, Presets are now saved in .xmp file instead of .lrt file. To install your new presets simply follow all the steps previously till step 4.
Look for Camera Raw and double click
Then look for Settings
Move your purchased presets into the Settings folder