These files have their name ending with ".scr". They are screensavers themselves.
The easiest known way to install ".scr" files is to right click on them and then choose "Install"
from available menu options. Once you do this, Windows will set the screensaver as default and open Display Properties dialog where you can adjust screensaver's settings if you wish.
Nevertheless, this way is very convenient if you just want to take a look at the screensaver, play with its settings and delete it. If you really like the screensaver and want it to brighten boring cloudy days then you'd better find a cozier place to keep it.
How do you find such place? It's easy. What you need is to drag the screensaver into your Windows folder.
If you use Windows 95/98 or Windows Me then chances are this folder is on your drive C: and has a name of "Windows". If you use Windows NT/2000 or Windows XP then it's probably on your drive C: and is called "WINNT".
Once you put the screensaver in this folder it will be available in the list of installed screensavers in
Display Properties dialog. Now you can select it whenever you wish. Furthermore, you should worry no more about reinstalling it every time you change your mind and select another screensaver.