What are you trying to download, dearie?A pre-made preset or someone's preset so you can see it?
If it's a pre-made, then try opening up the folder with winzip, that will open the folder for you, all you need to do is install it for this to work. Then you can place it in FeralHeart//my_presets then relaunch FeralHeart ;3
If it's someone else's preset (A .fhp file) just place it into FeralHeart//presets.
You can always do what Bawfle/Buffy suggested. I'm pretty positive that if that doesn't help you there are always preset tutorials on how to make/install/download presets in the "Tutorials" section of the site.
Good luck with the preset.