Click a ringtone to download it.
Double-click the downloaded file to copy it to the Tones section of iTunes.
Sync your iPhone.
On your iPhone you will find it in Settings > Sounds > Ringtone.
You can also use these same tones in the Clock app for an alarm.
These files are ordinary audio files (MP4 a.k.a. AAC) with a special .m4r suffix that makes the iTunes app recognize them as iPhone ringtones. Change the suffix to .m4a or .mp4 if you want to use them as ordinary sound files.