First of all, be sure that Photoshop is CLOSE.
Installing .GRD files could not be much easier. You simply need to copy the file to the correct directory. If you downloaded the gradient set in a zip file, you can just extract the 'grd' file straight to the right place. That "right place" is in the 'Presets' directory of your main Photoshop program folder, under the subdirectory 'Gradients'. For example, using the default installation path for Photoshop CS2, my gradients reside here:
C:\Program Files\Adobe\Adobe Photoshop CS2\Presets\Gradients\