I must be dumb, I can't figure out the whole widget thing...
I download a couple from Apple, but then the file is on my desktop? Can't find anywhere a prefs on where to save widgets? I put a couple in 'my lib/widgets' but next time I restarted, they don't load?
You want to put them in (Main Drive)/Library/Widgets
It sounds like you've done that correctly, though. Hmm...check to make sure the icon is the same as the other widgets. If it's not it may need to be un-zipped or something like that. If the icon isn't the same, just double click it and see if it changes into something that looks like a widget before you put it in the Widget folder.
Once it's in there, just turn on the dashboard and click the little "+" icon in the lower left hand part of your screen.
If you do all of that and it still doesn't work...well mabye there's something wrong with that particular widget?
Widgets will install themselves automatically when you download them unless you don't have the "Open 'safe' files after downloading" checkbox selected in Safari preferences. If for some reason you want to leave that preference disabled, then you have two options.