Put them in the mission folder next to the mission.sqm. Open the mission editor and select "export to single missions" under Save. This will combine all the files into a single .pbo file and export it to your Single Missions directory.
Read
macguba's guide to mission editing for beginners
snYpir's Briefing.html tutorial
both in the Editors Depot (link at the top of this page) - Tutorials - Getting Started. In fact you should have a look at all the tutes in that section.
Oh, and
Welcome to the forum!