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On cadsoft's homepage you can download some Xilinx lib.
Home page : www.cadsoft.de
If the file is a *.lib file you just copy it in to the Lib dir. on you're instalation path.
If the file is a *.scr meaning a script file it's a bit different, you open a new library file for editing once this is done you just run the *.scr from within the library editor.