You can't download actual levels from J2O: only zip-files. What you need to do is get WinZip, install it and use that to open the files you've downloaded. Look for your Jazz2 folder, and extract the levels into that folder. Easy. After you're done you can see the levels in the "Home Cooked Levels" list.

It can be possible that levels don't appear in that list, there's two reasons for that:

1. The author checked the "Hide in Home-Cooked levels list"
2. The list is full (the limit is 256)

Either case, open Windows Explorer and go to your Jazz2 folder. Look for the level you want to play, click it and hold the button, then drag the level over the Jazz2.exe file.

- JelZe GoldRabbit =:3

P.S. It's usually a good idea to give a little more info in such topics.