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.