To install an add-on please go to the title screen of Battle for Wesnoth. Select "Add-ons" from the menu and click "OK" to connect to add-ons.wesnoth.org. Select the add-on you want to install from the list and click "OK". The download will commence immediately. Wesnoth will then automatically install and load the add-on so you can use it. Remember that not all add-ons are campaigns!
Note: Hover over the type field to see an explanation of the type and over an icon to see the description of the add-on.
PS: If you really have to download an add-on from here uncompress it to the userdata/data/add-ons/ directory for wesnoth to find it.