Usually, the creators of the icons will give you guidance on how to use them. The method of using icons varies depending on their format. These days, one common way to provide icons is as web fonts. An excellent example of this is symbolset.
If you only have the vectors, such as in .ai or .eps format, you can utilize a vector editor like Adobe Illustrator to convert it to SVG. Unfortunately, support for SVG is not as robust as it is for web fonts. Another option could be creating the web font yourself. There are various options available, with one being the application Glyphs, though this process can be time-consuming.
If you end up with a web font, you'll need to start by including the font and setting the target element to utilize it. You can then insert an icon by referencing the correct character. If the outcome is an SVG image, you can insert it using the img tag.