download the .png maps to your worms folder... in Worms Armageddon\User\SavedLevels. If you have the Steam version I think you can right-click the game in Steam and then "browse to game files" or something
you can make subdirectories inside SavedLevels too for different map types, if you want to stay organized.
to load a map you downloaded, right-click the map preview in the pre-game lobby, and use the dropdown list unider the Save button
side-note: check out the User\Games folder if you want to rewatch any game you ever played. You can extract maps from those too (right-click the replay)