You normally place the .set in the main Mach3 folder and any image files that come with the screenset in the bitmaps folder. You then open Mach and from the View menu choose Load Screen, you can then browse to the .set that you want and it will load after a few seconds. If the page is missing images then the images are in the wrong folder so you may have to put them in another folder within the bitmaps, there may be a readme with the screenset download explainging where to put the files.
If you still dont get it to work it could be because Tormach have their own OEM version of Mach which is limiting things to the way Tormach want it to work for support reasons.
Hood