Working on some GEMFX presets for Skyrim and Guild Wars 2 :]
@inartemarco
To "install" a preset you have to rename the preset to "GEMFX_settings.cfg" and then putting it into the "current" folder, replacing the preset that's inside of it (If you want to keep the old one, just rename it to something else).
For GW2 you have to install GEMFX into the bin folder.
Also it could be that GEMFX is turned off so open GEMFX_Configurator.exe while playing and check if it's turned on or not.