1: Place the files in the "plug-ins""scripts""icons" folders to the proper folders in your local Maya directory. That would be where ever your local Maya user settings are kept in. They will be different on MAYA / OS version that you are running. Typically they are.
" Plug-ins " ~\aw\maya4.0\bin\plug-ins\
" Scripts " ~\Documents and Settings\"username"\My Documents\maya\scripts\
" Icons " ~\Documents and Settings\"username"\My Documents\maya\4.0\prefs\icons\
2: Now that all the files are setup, start Maya and use the Plugin Manager to load the plugin. "Window > Settings/Preferences > Plug-In Manager" click on the "loaded" check box next to the glossy.mll. This places a glossy Shader in Maya's Visor/Hypershade.