Amy is on the right track....your files may be hidden. Here are some quick steps to try:
1. First make sure your folders are not "hidden":
Click on "Start" and choose "My Computer." (Vista users: choose "Computer.") When a window pops up, click on the Tool menu at the top and choose Folder Options. When the Folder Options dialog box comes up, click on the View tab at the top.
In the"Advanced Settings" section there's a folder called Hidden files and folders. Make sure "Show hidden files and folders" is selected. Click okay.
2. To add the layer style .....Open the folder with the layer style.
Right click on the layer style name and choose "Copy."
3. Click on the Start menu, then click on My Computer, and look for this path:
C: > Documents and Settings (Vista computers: substitute Program Data for Documents and Settings) > All Users > Application Data > Adobe > Photoshop Elements > 6.0 > Locale > en_us > Photo Creations > Layer Styles.
Once you're inside the Layer Styles folder, press Ctrl V to paste the layer style.
4. The styles will be installed the next time you open PSE 6.0. However, they will be mixed in with all the other layer styles in the "Show All" category of Layer Styles. They will not be in a category by themselves.
It's possible to make them show up in a category by themselves but that requires writing an .xml file...and I'm not bright enough to explain that!