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Pick the Joomla 2.5 component which you want to install. You can search for one in the Joomla extensions directory:
http://extensions.joomla.org/
Make sure that it is compatible with Joomla 2.5.
Download it on your local computer and log in your Joomla 2.5 admin area. Navigate to Extensions -> Extension Manager. Click on the Browse button, find the component archive file and click on Upload & Install.
Once the component is installed you can find it under the Components area.
