Open up Your RCT folder, then open up "Style" then "Themed" put your file in this folder.
Your should have a folder with two .ovl files inside of it and another folder that probably has the same name.
It should look like this.
RollerCoaster Tycoon® 3\Style\Themed\Pumper-SteelWorx
If you don't want to manually place it and you have the game installed on the defualt location. Use the the automatic installer
http://www.trackworx.com/Pumper-SteelWorx.exe
All you have to do is download it, run the program, click "Unzip" Then load up your game.
Inside the game, you will find it (as said above), under Scenary in the walls section. Scroll down (I suggest deselecting everything but generic to make it easier), you will see a picture that says SteelWorx, click it, and there you have it.
Oh, forgot to mention. If you have the game running while you install it, you will need to reboot the game before you can use it.