You can either store them in your asset directory, you will find them in the „unassigned“ folder. From there you are free to store them in your own asset structure.

Or you can append the material to your scene by going to „File Menu“ - „Append“. Than you navigate to the downloaded blend file with the material, double click on it, double click on the Material folder, select the material you like and click the Append button. Once done you will be able to assign it to your objects in all of your scenes.