XCCP is a jHexen Resource Pack (jXRP), consisting of MD2 models for in-game objects, weapons and enemies and a set of nice effects using particles systems, surfaces with reflections, lightning effects and others.
Locate the installed Doomsday engine folder (most probably in 'C:\Program Files\Doomsday')
Open 'snowberry\addons\' subfolder.
Unpack the 'jxrp_billy.box' folder from the jXRP-XCCP archive to the 'addons', so the resulting directory structure will be something like this, depending on the location of Doomsday folder in your system:
Start Doomsday, select 'Shared Settings'->'Addons' and check the checkbox near 'jHexen Resource Pack'.
Select the game type ('Hexen' for example) and click 'Play' to start the game.