Download the available installer file that matches the Unreal Engine version you are using, exit SOLIDWORKS, and run the installer file to install the exporter plugin. See the documentation for more details on installing the SOLIDWORKS Datasmith Exporter and using it with Unreal Engine. 

If you are installing these plugins on a computer that will not also have Unreal Engine installed, then you may first need to install some prerequisite dependencies for either 64-bit or 32-bit systems.