help with packages install

["Bruno N. L. Faria" <alpha@jgc.homeip.net>]

all packages on debian has a file called Packages.gz and Sources.gz on root
i don't know how to install them
i was looking for kde3 to update my system so i look into kde.org for 
necessary files (for debian)
http://download.at.kde.org/pub/kde/stable/3.0.3/Debian/
found it
but i have no idea on how to make the download and installation

do i have to download each package and then try to install with dpkg or do i 
have to use apt to dl and install?? if so, what do i have to put on 
sources.list?

thanks

Bruno