First the original question: it installs objects to the default folders of The Sims. Make sure the settings on the "Options" panel are correct. You might also need to have an Administrator account on Windows 2000/XP to be able to install downloads.
After that, the objects should be available in the Buy mode in The Sims. However, it depends on the object file itself in which category it shows up. If it doesn't show up in the right categories, try using SimCategorizer from
SimWardrobe to fix the object. That should work - I haven't heard of any problems with that.
@ Peter: Showing the object itself is hard, and probably too hard for me (a "him" bytheway :-) ). I've been messing around with it but never got it to show the pictures right, so the Delete feature only shows what's stored as catalog picture in the file itself. Often this is incorrect for custom objects, but unfortunately I can't do anything about it. I don't have any official documentation whatsoever from Maxis, so I don't know much about how objects are drawn. Some developers, like Bil Simser (SimsTools), do have that documentation, but are not allowed to share it. I think the preview is useful, but I'd rather spend more time in the development of the actual functionality of the program than trying to figure out how to draw objects properly for hours, days, weeks or months...
Also, deleting the objects should normally be possible, unless there's a bug that I don't know about yet. I don't download much myself and haven't had the chance to test it too in-depth, but from what I know it should work. My time's limited (school) and I've focused on programming for this site itself a bit more recently (otherwise you wouldn't be able to post your questions here now :-) ), so the development of the "Handlers" (Add-on and Neighborhood Handler) has more or less stalled since the latest release.
The instructions to delete an object or any other installed file are in the readme file that comes with the program. You should load the "Delete" option, then double-click the files on the list you want to delete, so a green tick (V) is shown. Then the "Delete" button will delete the files.
Now the development for TSZ can be slowed down a bit again, I will try to do some work on the Handlers again. Please keep in mind it will take time to get a new version out though. I will check the Delete feature again and test it. I've already set my mind on the next feature of the program too, but that too will need quite some time to be developed (think a couple of months here). If the Delete function really doesn't work though, I will fix it and release a bug-fix version in a couple of weeks.
Oh bytheway, I'm on my own when it comes to developing the Handler programs. A one-man team with limited time just takes more time to get things done. I'd rather not share the projects though, that'll make it harder to keep synchronised... plus I simply don't know anyone with the necessary knowledge and experience.