Unpack and move the folder "Space Probe for Valhalla Delay by Spektralisk" to following location:
MacOS: Macintosh HD/Library/Application Support/Valhalla DSP, LCC/ValhallaDelay/Presets/Designer/Spektralisk
Unfortunately I don't have access to Windows machine at the moment but I guess it will be somewhere in C:/Program Data or Program Files.
To find out where the folder with presets is, open ValhallaDelay plugin and use "Save as". In the window you should see a path to the target folder like on the screenshot below: