It depends on which VR system you use. If you're using Steam VR or PCVR (e.g. Vive, Index, WMR etc), just access the desktop mode in VR and open the downloaded app.
If you are using Quest, it needs an extra step. First, it needs a link cable to connect to the computer. Once you have that, connect your headset to the computer, open QuestLink, then open the desktop from the menu, and double-click the downloaded app to start it.