Summary
Make sure to unzip the profile then right click it and select "install profile".
In-Depth
Uncompress the Files
Typically, ICC profiles are available within zipped packages to compress file size. Unzip the package by double clicking prior to installing as neither the operating system nor Capture One can parse a zipped ICC profile. Right click on the file and select Extract All. Follow the directions to extract the ICC file to the source.
Install the Profile
Right click on the ICC profile file and select Install Profile.
Quit and Relaunch Capture One
The profile is now ready to use in Capture One. You can use it as a Proof Profile under View > Proof Profile:
as a destination profile for processed files (via the Process Recipe's Basic tab, or as a printer profile (in the Print dialog's Color Profile option).