Noteskins are the graphics for the notes you see in gameplay. If you want your own added to the repository, you can request it in the #repo-request channel of our discord.
To add a new Noteskin, navigate to \Etterna\NoteSkins\dance
and place the folder inside the .zip you downloaded into it. If you want the new noteskin to appear without restarting your game, you can hit F2 while on the Song Select screen to reload your metrics/textures and it will appear in your Song Options screen.