1. Copy the new .grf file to the \data directory. 2. Open the openttd.cfg file in the \directory. 3. Go to the end of the file and enter the following:
[newgrf] firstset.grf secondset.grf thirdset.grf
Where firstset, secondset etc.. are the names of the *.grf files of the set. The files are loaded in the specified order... so if the second set has some features that are also in the firstset, the features of the firstset would be overwritten.
Note that it is a good practice to put all the newgrf files to a directory such as \data\custom or \data\newgrf. It especially makes upgrading OpenTTD easier, as well as managing a large number of newgrf files.
