Are you talking about updated drivers you downloaded from the various mfr websites or are you talking about original drivers? If original drivers, you would use the motherboard cd if your hardware is on-board rather than separate cards internally, or you use the original installation cd's that came with the hardware.
If the downloaded updated drivers, most of them are either in .zip format so you have to extract the files first to a separate folder on your harddrive, then go to Device Mgr, click the device, choose Properties/Drivers/Update drivers and have windows look inside the folder you created with the extracted files.
If the file you downloaded is an .exe type file, you can usually just click it and it will install automatically. However, for video, you usually have to change the display adapter to be generic VGA drivers so that windows 'lets go' of the drivers that are already installed.
How can I install sound card, video card, and the modem drivers in WinXP?