Just put the folder you downloaded into the Dune 2 soundbanks folder.
I can´t speak for windows but for mac it worked this way...put the folder there:
Macintosh HD/Library/Application Support/Synapse Audio/Dune 2/Soundbanks
Not sure how to do in windows.
There are also folders for wavetables, Arp midi and skins which you could import there.
You also can create your own folders/subfolders there.
But yeah, i often miss the simplicity of iOS apps here where i just can do mostly these things in the app itself via open in and ready without searching and putting things around (the same for deleting things).
The desktop style feels a bit dated for me
Just a few software tools seems to support easy import and export directly from the plug-in itself.
It´s about time that desktop tools come to a more modern and faster workflow.
I want drop and drag sound banks into a plug-in...ready!