It's... incredibly simple. I don't understand how you didn't get it yet.
-Download SRB2 to a folder, not your desktop (a folder named SRB2 would suffice, no?)
-Place wads inside the folder
-Either go to the "Addons" section of the SRB2 website:
http://www.srb2.org and download the "SRB2 Net Launcher", or just open SRB2 normally by clicking the EXE
-With the Net Launcher, go to the WAD Files tab, and add whatever wads you want to add, and then click run.
-In SRB2, go into the console by pressing "~" on your keyboard (most commonly next to the "1" key, and type:
(Replace <wadfile> with the name of the wad you want to add.)
If that doesn't work, you're doing something horribly wrong.