That's why they're not in your game
There are two methods:
1. Open launcher, then double-click the file with the world you want to install (or any other s3p file). It will automatically install.
2. Open the launcher. Then click "Downloads" button, and find your file by it's name - uninstalled ones won't be "greyed out". For worlds, it's easier to find them on "Parcels" tab (picture of a house). You tick files you want to install, and click "Install" button at the bottom - just make sure ticked files don't exceed 200 MB all together, as launcher might misbehave if you try to install more at once.