Save the files pst-3d.sty|tex|pro in a directory, which is part of your local TeX tree. Then do not forget to run texhash to update this tree. For more information see the documentation of your LATEX distribution on installing packages into your LATEX distribution or the TeX Frequently Asked Questions: (http://www.tex.ac.uk/cgi-bin/texfaq2html?label=instpackages).