You download them to your SD card from the computer. Then you put the SD card in your Wii, and there you go. Though, I've yet to find the SD port on my computer, so meh. x.x; One small thing that keeps me from having so much fun.
And, my first stage was something that ticked off my friend really badly. It has a couple spawning points way at the top, and should you fall off of these, you meet a row of spikes at the bottom. The only characters that I've seen able to make it back to the top are...Pit...Meta Knight...Kirby and Jigglypuff...I think that's it. o.o