All extensions can be installed from within your Railo Administrator. By default, your Railo Administrator can be found at http://YourWebsite/railo-context/admin/server.cfm and web.cfm.
If you are on a shared hosting environment, you probably only have access to the Web Administrator.
Once logged in, you need to go to Extensions > Applications, to see the full list of available extensions. You can simply click one, hit the Install button, and you're done! (if it's a paid extension, you first have to go through the payment process)
Please note, that the Server administrator and the Web administrator both have different extensions!
You can switch from one admin to the other, by clicking on the tabs at the top-right of the admin screen.