Once you've downloaded the .zip file from the website, you'll want to extract the file to your Space Empires IV Races folder. All races for Space Empires IV are placed here:

    ..\se4\Pictures\Races

If you are using the steam version of Space Empires IV, your install may be buried deep in a folder like this:

    C:\Program Files (x86)\Steam\steamapps\common\Space Empires IV Deluxe\se4\Pictures\Races

If you extracted the race correctly, it will have its own folder in the Races folder.

    ..Pictures\Races\[Racename]