Copy the winnipeg.grf file into the "newgrf" subdirectory of the OpenTTD program files. Launch the game, select "NewGRF settings" from the main menu, enable "Winnipeg Town Names", and apply changes.
The .nml and .lng files are source code, they do not need to be installed. The .grf is the final compiled product.
All street names beginning with "St." or "Mc" have had their prefixes removed, since those prefixes (along with others) are added randomly.