I've downloaded a new firmware for my digicam. But now what do I do with it?:? WHERE and HOW should I install it? On the computer? On the digicam? How?

It depends on the camera. There should be instructions provided on the site you downloaded from.

Agreed. There should be instructions on the site where you downloaded the firmware.
With my Nikon 5700 you download to your cumputer, plug the camera into its USB cable and use a special series of menue commands to download the firmware onto the memory card and from the card into the camera. Yours might be something similar.
Grant