I looked for tutorials on this at GDS and didn't find any but Misty Cato has some great tutorials on her site for installing styles. Here are the links:
Loading and Using Layer Styles in PS
Loading and Using Layer Styles ins PSE
Actually Anna, I looked at this tutorial for elements and realized she wrote the tutorial for PSE4. The method for installing styles changed with either 6 or 7. Here is a link that has tutorials for all versions of PSE:
Installing Layer Styles in PSE-All Versions
I hope this helps. Styles are so much fun to play with and you can create some really neat, interesting effects with them.