After downloading an add on from splunk website, it provides you an option to see the steps on how to install the add on.
For example a dataset addon
Installation:
Download the Splunk Datasets Add-on. The file downloads with a .tar.gz extension. Do not attempt to run this file.
Save the archive in an accessible location.
Log into Splunk Enterprise on the host on which you want to install the Splunk Datasets Add-on.
In the Home screen, select Apps > Manage Apps.
Click Install app from file.
Click Choose file and locate the installation package you just uploaded.
Click Upload. Your Splunk instance installs the Splunk Datasets Add-on.
Something close to that: I do not know if it applies to all add on. But it is important to follow their instructions since splunk provides instructions to most of their installations
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