As long as your phone supports .gif files (most recent ones do) simply right click on the smiley of your choice, and "save as" to your computer (to your downloads folder and/or desktop) then if you have a method of up/downloading images to your phone (by cable, infra-red or blue tooth) simply copy it over as if its any other file. (check your phones manual to see how its done)
its easy really..
but bear in mind the smiley's you see here are 28x24 pixels and if you enlarge them they may not look good on the phone. although you could try this one
I made it 50x43 and that's about as big as it will go before looking bad
again, simply right click and "save as"