Download the zip files, then run the executable file (for example, SO1inst, SM1inst.) A dialogue box pops up in Windows and will install the game. Each add-on game runs independently, so you won't be running them from the main KSaga menu.
Hey, does anyone else have a problem with that 'victory song' playing over and over again in WC1? The one that plays when you make a really sweet shot, or clear out all of the fighters in a wave . . . that damn thing starts playing and doesn't stop until I land. I hate that.