.Erf (encapsulated resource format) files need to be imported into a module using the toolset. Use the File→Import menu to select and import the .erf file you downloaded. Afterwards, the new content is available on the palette of your module.
.hak (hakpak) files need to be placed into the nwn\hak folder and then associated with the module via the Module's properties dialog. Afterwards, the contents of the hakpak are available both in toolset and game.