kinda tricky, but as Imagine posted earlier, you need to rename the setup that you downloaded according to this system:
2slotX_ -MG ZR
and place them in the "savedgames" folder. For example, you downloaded a set for the Corolla, say you want to call it "soft_tarmac", and you want it to be the second setup in the list (if you have your primary gravel set in the first slot or whatever) So you would rename the set: 6slot1_soft_tarmac.lsp
as "0" is the first slot, 1 the second, and 2 the third.
really really really freaking confusing and it sucks you can only have three setups per car but really I've found for most cars I only really need two, a gravel and a tarmac. Sometimes I have a soft gravel and a stiffer gravel, like for some of the smoother high-speed courses. I've found the default snow setups to be adequate for most of the cars.
Hope it helped.