Generally, you can install files manually to Nerf ArenaBlast by dragging the appropriate file to the correct folder in your Nerf installation folder (generally located in C:\Program Files\Atari\Nerf).
Here is a list of file names to help you understand which files go into which folders.
*.nrf *.unr *.t3d = Maps (note that *.unr files and *.t3d files are not really playable, but are used by mappers for import and export.)
*.utx = Textures
*.uax = Sounds
*.txt = Help (that is normally a map's or mod'sReadMe, not a mandatory file, but not bad to have around.)
*.u *.ini *.int *.uc *.umod = System (Note that *.umod files can technically be installed from anywhere, but it is nice to keep them here.)
*.usa = Save