You can use the script "mydsl-load" in a terminal window. For example, if one was in the directory with the .dsl files, this command would load an extension "mydsl-load <name>.dsl" where "<name>" is the name of the partiular extension.
I believe that double clicking on extensions in the emelFM file manager also loads them, unless that's something I set up myself. You will see text confirming that the extension is loaded appear in the terminal log at the bottom of the emelFM window.
You can also use the DSL extension broser as described on this page: http://damnsmalllinux.org/wiki/installing_mydsl_extensions.html
EDIT: Or if you mean you don't know how to run the program after the .dsl has been loaded: Some programs can only be run from the terminal, so they do not have icons appear in the MyDSL menu or the desktop. Check the documentation or the Man pages for the programs you want to run for the correct way of calling them. Or just type their name followed by "--help" in the terminal for their built-in command list which is usually more condensed. You can type "<program name> --help | less" if the help list is too long to view.
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