If the plug-in is standard and doesn't require installing onto your computer. I'll tell you how.
Step one: with max open, go to the tap called "Customize" and select "Plug-In Manager..."
Step Two: Right click on the list of plug-ins and in the drop down box, select "Load New Plug-In..."
Step Three: Navigate in the scroll down box to the location you saved your downloaded plug-in and select it to load it into max.
Step Four: Have fun with your new plug-in.