STL is a file format that basically stores a raw 3D model for use in CAD, 3D printing etc.

If you want to print them then you get an STL file of your choice, run it through a slicer which converts the 3D model into hundreds/thousands of layers that when stacked still form the 3D model but give your printer the info it needs to print each layer. Then you transfer it to the printer via a USB, Micro SD Card, WiFi etc. and then the printer will go about printing it.

There are a lot of websites setup that are basically libraries of STL files that people might enjoy, most are free but some are paid.

For example here is a Bolter that someone has designed and uploaded the STL files for.

You would then download that zip and print each of the STL files, then clean up and assemble the parts to make the bolter.

(It is cut up into many parts so that smaller printers can actually still print the thing and it is safer from the point of view of any one print going wrong only ruins that one part which you can repeat easily, if you were printing the whole thing at once and it fucked up then you just lost hundreds of hours of work and plastic).

Here's a video of someone printing and making a Pulse Rifle from Aliens (1986).