In your zip package you'll find head, body, and pin STL files. Once printed, use the pin to connect the head to the body. Pretty straight forward. I've included both a "pin.stl" and a "thick_pin.stl". The reason for this is that printer tolerances can very from machine to machine, so use the one that works best for you.
You'll also find a browser shortcut that links to your Character's game card so you can print it out. If you really want it saved as a file instead of the "Auto Updated" version then just Print As PDF offered by most browsers.
These parts were designed with ABS in mind. You can try it in other materials but I don't make any promises that it will work. I test printed all original parts on a Lulzbot Mini with the following settings:
Material: ABS 2.85mm (Gizmodorks)
Layer Height: 0.18mm
Hot End: 250
Support: Touching Build Plate
45 deg overhangs
Given the fickle nature of 3D printing what worked for me may not work for you, so use the settings that work best for your setup. The head includes a "support blocker" in the port that's on the build plate that you may need to punch out. That's just to keep support material from getting up in the port and having that much more to try and remove.