There are several ways to install presets, depending on which kind they are. For Develop Presets, the easiest way is to switch to the Develop Module [D], right-click the User Presets subfolder, and select Import…. Navigate to your presets and Import them.

To manually locate presets, use the following locations:

Mac: ~/Library/Application Support/Adobe/Lightroom/

XP: C:\Documents and Settings\<username>\Application Data\Adobe\Lightroom\

Vista: /AppData/Roaming/Adobe/Lightroom/

The various Preset folders are located in subdirectories below these.