Mercurial ships with 30+ standard extensions and you simply enable them as needed. More experienced users can download and then install third-party extensions as they like.
This of them as major modes for Emacs, if you're familiar with that. Emacs comes with syntax highlighting support for a lot of languages and the mode is turned on automatically. Sometimes you need to install a new major mode yourself, but the bundled modes get you a long way.
I don't think you need to install those extensions, you just enable them by putting a line in .hgrc