You can install apps through Splunk Web (Apps > Find More Apps), by uploading a .tgz/.tar.gz file, or via the CLI with the splunk install app command.
Apps are installed to $SPLUNK_HOME/etc/apps/. Each app has its own directory with default/ and local/ subdirectories for configurations.
App permissions control who can access them: private (only the owner), app-level (users in that app context), or global (accessible from all apps).
./splunk install app /path/to/app.tgz
./splunk restart