The words on this vocabulary site are organised into various topics. You can learn and test yourself on the words of each topic in up to 15 different ways. If you keep returning to the same topic and doing one or two of the quizzes, you should learn the new words quite quickly.
But this way of doing things is a little passive. To learn words more quickly, it's best to do something with them. Once you have chosen which ones are important for you to learn to use yourself (not just to understand), you could write them down and add your own definition or a translation of the word in your own language. If you have an electronic dictionary, you can hear how the word is pronounced and then practise saying it yourself.
You could also find extra grammatical information about the word in your dictionary. For example, if the word is a verb, you could find out if it is regular or not; if the word is a noun, you could determine if it is a count or uncount noun. It is a very good idea to try to learn the word in a typical expression. For example, instead of just learning that to beg means to ask very strongly, you could learn the expression She begged me not to tell anyone. Learning that recently means in the last few days or weeks is good, but learning it in the expression Have you seen any good films recently? is better! For this reason, in some of the quiz modes you can read an example sentence which contains the word in a typical expression.
Of course, if you try to use the words in your own speaking and writing, you will remember them all the more quickly. An excellent way to actively learn the new words you find in the computer files is to make vocabulary cards.