Go to where you saved the downloaded file. By default, most web browsers will save it to your Downloads folder.
Right-click on the PSDPlugin-#.#.# file and select Extract All...
Click on Extract in the "Extract Compressed (Zipped) Folders" dialog.
A new window will pop up with the contents of the ZIP file. Right-click on PhotoShop.dll and select Copy.
Now, navigate to the C:\Program Files\paint.net\FileTypes folder.
If you installed the Windows Store version of Paint.NET, this folder does not exist. Please refer to the Paint.NET documentation, in the yellow box that says "In the Windows Store version of paint.net": https://www.getpaint.net/doc/latest/InstallPlugins.html
Right-click the empty area on the right side of the window, and select Paste.
Click on Continue in the "Destination Folder Access Denied" dialog.
PhotoShop.dll should now be in the FileTypes folder.
Now, open Paint.NET and select File - Open. At the bottom right, click on All image types (*.pdn ...)
If the PSD Plugin was successfully installed, there should now be an option for Photoshop (*.psd)