You don't add it to Premiere - you add it to Windows. It will then be picked up by Premiere for use in exporting your movie.

Codecs such as Divx and Xvid come with their own installation programs. Install them, then open Premiere.

This is a good site to read about codecs:

Free-Codecs.com :: Download latest audio codecs, video codecs, codec packs and tools, FREE!