You should have a custom_stories folder somewhere in the game files. You just have to decompress the file into that folder, and it should come up in the menu at the title screen. As to the exact path, that depends on your operating system and how you bought the game.
On OS X through Steam, the path is:
UserName > Library > Application Support > Steam > SteamApps > common > Amnesia > custom_stories
He explained it kind of wrong... What you do is this - find a custom story you want to play. I'd suggest using this link - a lot of these threads have completed custom maps available. http://www.frictionalgames.com/forum/forum-36-page-1.html Let's say you want to download the map "Isle". Go on and download it, save it to your desktop or somewhere. If you have Winrar, you right click the Isle.zip file on your desktop and select "extract here". Once that's done, you'll see a regular, unzipped folder called "Isle". Right click the folder and copy it - don't use cut in case you mess up, and then paste the whole folder into the "custom_stories" folder. Not any individual files or anything, but just the whole, unzipped, "Isle" folder. Once you do that, you can fire up the game, select "Custom Stories", and it'll be there for you to play.
I'd also recommend downloading Winrar if you don't have it. Makes things a lot simpler. You can google it to find it.
...And I sang death, death, devil devil devil devil, evil evil evil evil songs! http://i54.tinypic.com/hwkgo1.jpg http://i52.tinypic.com/xmu3ig.jpg