You use MiKTeX Package Manager (MPM) to install and remove packages.
The package manager can be run in two modes: batch and windowed.
MPM runs in batch mode if you specify command-line options
such as --install and --update (see
mpm(1) for a list of available command-line
options).
To start the package manager in windowed mode, click → → → ). You will see a window similar to this:

You install packages as follows:
Select all wanted packages in the list view.
Click on to install the packages.
For example: you want to install the ConTeXt package:
Locate and select the ConTeXt package in the list view, e.g., type the key sequence C O N T.
You can now click to install the package.
Sometimes you don't know the name of a package, but you know the
name of a file that belongs to the wanted package. In this case, enter
the file name information in the file name edit control. Note that
the file name information can include wildcard characters
(*?).
For example: you need to download the class file
weekly.cls:
Enter weekly.cls in the file name
edit control.
Click the button.
The list view will be reduced to contain
only the calendar package.
Selecting calendar and pressing +
will install the package.