WordPress.org

Copy the directory 'advanced-twitter-profile-widget' to your WordPress '/wp-content/plugins' folder.

1. Activate the 'Advanced Twitter Profile Widget' plugin in your WordPress admin 'Plugins'
2. Go to 'Presentation / Widgets' in your WordPress admin area.
3. Drag the 'Twitter' widget to your sidebar.
4. Configure the options:
   1. Title: the heading you want to appear above your Twitters in the
   2. Twitter User: username of person from which tweeties will be displayed
   3. Number of messages: the number of Twitters shown, defaults to 4
   4. Height and Weight: the sizes (in pixels) of the widget. Weight can be set to "auto"
   5. Colors: colors of widget in hex, without "#"
   6. Features: you can on/off a features like scrollbar, timestamp, hashtags etc.

WordPress 2.0.x and 2.1.x users

You guys should also be able use this widget if you install the Widgets Plugin. I tested it briefly and it appeared to work.