I need help with downloaing new backgrounds, player updates, and new skins, etc.

I click download, and then hit save, but after that I don't know what to do.

I hit save again and don't change anything, but when I go to play the game, nothing is updated.
What am I doing wrong?

You have to put them in the appropriate place on your computer.

Try here for help:

http://www.ehmtheblueline.com/forums/viewtopic.php?t=2525

I made the new folders and stuff, and then redownloaded the things and the game will not update.

You need to download the file, then extract the zip file (google winzip or winrar) to their correct location.