Extract the contents of the downloaded ZIP file to a directory on your local machine.
Run USNG.exe to install the U.S. National Grid Tools for ArcGIS add-on.
Start ArcMap. You must turn on the USNG Tools for ArcGIS add-on by selecting Tools > Extensions, checking the U.S. National Grid Tools box, and clicking close.
Toggle on the U.S. National Grid Tools toolbar (select either View > Toolbars or right-click in the toolbars region near the top of ArcMap).
From here, the coordinate and grid tools are available.