Move the downloaded file into the /plugins/ directory in your Minecraft server's folder.
If your server is running, stop your server with /stop.
Start your server. PhantomWorlds will generate its own directory consisting of various files which you may edit in /plugins/PhantomWorlds/.
Optional Extra Steps
If you wish to change any settings in the configuration files, go ahead. If you do make any changes, make sure you save your edits, then run /pw reload for the changes to take effect (or restart your server).
You may want to allocate the various permissions to your permission plugin's rank groups - I recommend LuckPerms.