You normally use a tool like pip to install wheels. Leave it to the tool to discover and download the file if this is for a project hosted on PyPI.

For this to work, you do need to install the wheel package:

pip install wheel

You can then tell pip to install the project (and it'll download the wheel if available), or the wheel file directly:

pip install project_name  # discover, download and install
pip install wheel_file.whl  # directly install the wheel

The wheel module, once installed, also is runnable from the command line, you can use this to install already-downloaded wheels:

python -m wheel install wheel_file.whl

Also see the wheel project documentation.