Sheets are often distributed as compressed tar files (having the filename extension of .tar.gz). To install the sheet (assuming the tar file has been created properly) open the tar file in the Gnome archive tool (guitar). Select all files in the archive (Ctl+A or Archive-->Select all) then click the Extract button. You will be asked where to extract the files to--choose the .dia folder in your home directory.
Next time you start up dia the new sheet will be available.