Instructions are dependent on the game you're using.
Usually the change is done in-game through the multiplayer menu.

In Left 4 Dead 2 it goes like this:

Download a .vtf file for whatever spray you want to use.

Start Left 4 Dead 2

Go to the main opening menu

Click on "OPTIONS"

Click on "Multiplayer"

Click on "Import Spray"

Navigate to the folder where you downloaded the .vtf file

Select the .vtf file you want to use

Click on "Open"

Click on "DONE"