Once you have downloaded the Zip file, it should be extracted into your Arduino Libraries folder and the folder renamed to "LEDMatrix".
For full instructions see the Wiki icon on the right.
NeoMatrix displays can be big, typically 1cm^2 per pixel, sometimes more. If you need Matrices that are both smaller and cheaper, you can use RGBPanels which are supported by SmartMatrix: https://github.com/pixelmatix/SmartMatrix
If you also install https://github.com/marcmerlin/SmartMatrix_GFX you get a compat layer that lets you run FastLED and LEDMatrix code. See https://github.com/marcmerlin/FastLED_NeoMatrix_SmartMatrix_LEDMatrix_GFX_Demos/tree/master/LEDMatrix for examples.