Most WP plugins I've installed just get uploaded to the /wordpress-directory/wp-content/plugins folder, then activated in the dashboard. But each plugin is different, and you will have to follow the directions for each. Some require more steps.
I recommend Core FTP (you can get it from http://www.coreftp.com). The LE version has features that a lot of other programs either charge for or don't have, and it's user-friendly.