First off, dorko is right.. Super Search is your friend.. as well as Google. The first place you might have wanted to look for help was Activestate - check out this link: Using PPM to install modules. Also, there is a good tutorial here at The Monastery called A Guide to installing Modules by tachyon. Try these above links and if you still have problems.. let us know.

Good Luck,
- Moon

Update: Oops.. I can't seem to read today. dorko is right.. PPM is your friend. (I misread...)