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All the files will be located inside the directory specified by the value of Mathematica's variable $UserBaseDirectory (Typing $UserBaseDirectory and then pressing the at the same time the keys [SHIFT]-[ENTER] in Mathematica, will return the $UserBaseDirectory of your computer).
Inside the $UserBaseDirectory there is an Applications directory, and inside the Applications directory unzip the file QuantLibMMA.zip, so that a QuantLib directory is created. Once the unzip procedure is finished, inside the QuantLib directory there must be the file QuantLib.m, which contain the programs of this Add-On, and the file PacletInfo.m, which is necessary to incorporate documentation in Mathematica's help system, and the directories Documentation, Kernel and Binaries.