Installation instructions often come with the scripts, or are specified on the page of download.  However, rule of thumb is that .ms files go in the scripts directory.  Some of them can be automatically launched each time Max launches, by putting them in scripts>startup.  To run it, go to MAXScript>Run Script, and select it.   Mse files are Max Script Encrypted files.  Mini apps that install themselves when you run them.  You can drag and drop them into your viewport, then go up to Customize>Customize User Interface, and find the script in whatever category the author created for it.  You can then assign it to toolbars, hotkeys, or quad menus, etc., and save it with your UI config.

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