Here you have two options:
1.) If you simply click on a link to an (.xpi) extension using Firefox it should automatically display a window that counts down for 5 seconds and then asks you if you want to install it or not.
2.) If you downloaded it elsewhere, downloaded it using another browser, or downloaded it by right-clicking the link and using Save As, you can still install it easily. Just go File->Open File, browse for the xpi file, and open it. You should then receive the same window described above.
Now, at any time you can find out what extensions are installed, modify their settings (if applicable), and disable or uninstall them by going Tools->Extensions.
Hope this helps,
I have downloaded a lot of plug-ins & extentions for Firefox with most of them having .xpi extention. How do I install them & where so that I can start using them?