For iPhones, which use m4r files, click on the desired m4r ringtone to save it to your computer. Then, follow these instructions from J.S. Copper at eHow:

1. Open the iTunes media player application.

2. Select "File," then "Add to Library." Locate the M4R ringtone file and click "Open." The ringtone is copied to your iTunes library and added to the "Ringtones" section of iTunes.

3. Connect your iPhone to the computer using the included USB cable.

4. Select the iPhone within iTunes, click the "Ringtones" tab.

5. Click "Sync Ringtones." Click "Apply." Click "Sync." The newly added ringtones will upload to your iPhone.

For most other phones, click on the desired mp3 ringtone link to save it to your computer (you may need to then right-click on the mp3 viewer that shows up, at least on a Mac) and use a free mp3 uploader to put it on your phone.