In the upper right corner of the Layer Styles palette (Window>Styles) is a small arrow that opens the palette menu. Select either Load Styles or Replace Styles from the list. I prefer to replace the loaded styles with the new set.
Navigate to the folder on your hard drive where the styles are saved, and select the set.
Once you click 'Load', the set will be ready to use in Photoshop. With the Type Layer selected in the Layers Palette, click on a Style in the Layer Styles palette. The style will instantly change your text.