I've done it with EAs, for an indicator you have to put it in the indicator folder, inside the experts folder which is inside the folder where your metatrader is located. All that is under programs folder on your C drive.
if you double click on the mq4 object (looks like a yellow diamond with an exclamation point inside) then the source code comes up. click on compile on the top of the screen. at the bottom of the screen it will show you if you have any errors. This creates the ex4 object.
then close and restart your metatrader and the indicator should be there available for use.
works the same way with EAs but they go directly into the experts folder
I'm no expert by the way, hope that's not too confusing
Without knowing if you know how to code in mql, once you've written your code or modified/have someone else's code (.mq4 file extension) it is usually compiled in metaquotes editor. In there you simply click the "Compile" button and it will make the .ex4 file (as long as there are no syntax errors )