Unpack the file and place the contents in the root of your Web server. The file will unpack in a drupal-x.x directory.
You'll need to change the permissions on the sites/default directory so that the installation file will create a new configuration file, so you need to make sure that directory is writeable by the Web server. The easiest way is to set the permissions to world writable. At the Linux/Unix command line, type:
chmod o+w sites/default
Or use your control panel to change the permissions.