Every widget is different. Did the author of the widget provide any documentation?
The basic idea is to insert the widget into a slide in your project (in Edit mode) via Window, Widget, or via right-clicking the slide and choosing Insert, Widget and navigating to the widget file. Double-clicking on the widget will open a window with tabs, including a Widget Parameters tab where the author can specify parameters for controlling the widget and where authors often include instructions for people using the widget.
The other relevant tab is the Options tab, where you can define if the widget should display for a specific time, the rest of the slide, or the rest of the project. Some widgets are designed to be inserted on the first slide of your project and to display for the rest of it. So that's one to check if you're having problems.
A link to the widget's homepage would be helpful, if you could include that.