If you want to use the exported effects in your AppGameKit projects, you copy the supplied effects folder and it's sub-folders to your project's media folder (the subfolders contain the particle geometry, shaders, noise tex, etc) and you copy the exported effect files from the editor's export folder (.arx and the corresponding images) right into this same media/effects folder of your project.
Then you just need to #include the supplied runtime AppGameKit code file and you can load, place and tweak effects with the commands from the include. (gpup_loadEffect, gpup_emitterActive, gpup_setGlobalPosition, etc.)
You don't have to manually open the effect files, the new commands will import them for you.
There is a whole demo project included with everything already in place, you could use that as starting point and just switch out the effect files depending on what you need.
Also make sure to read through the PDF file, it has instructions that should clear up the finer details.