We're using 11.04 but the install for 10.10 is basically the same. If you don't want to use the terminal and would rather just point and click through your folders look at Method 2.
Method 1
The easiest way to add icons is through the terminal:
The icons you have downloaded are most likely tarballs and will need to be copied to the .icons folder and extracted first. You will also need to change to the directory where you downloaded the files usually this is "/home/username/Downloads". When you open your terminal it most likely looks like this username@computername:~$" so here just type "cd Downloads" don't forget to capitalise the "D'. Once you are in the right directory type:
cp tarball.tar.gz /home/username/.icons
cd /home/username/.icons
tar xfz tarball.tar.gz
Now click on the Ubuntu icon and start typing appearance, click it, and follow the screens below:
Go to Appearance
Click Customise
Click Icons
The icons you downloaded should now be in the list!
Method 2
Go to the folder where you downloaded your icons. Copy and paste them into the ".icons" folder which is located in your username folder. The .icons folder is hidden so you will need to press "Ctrl + H" to show the hidden folders.
Once you have moved the files to your .icons folder you will need to extract them by right clicking the tar.gz folder and clicking "Extract Here"
Once you have extracted the files go to Appearance
Click Customise
Click Icons
Your icons should now appear in the list!