WordPress.org

1. Unzip into your /wp-content/plugins/ directory. If you're uploading it make sure to upload the top-level folder. Don't just upload all the php files and put them in /wp-content/plugins/.
2. Activate the plugin through the 'Plugins' menu in WordPress
3. Visit your SEO options (Options - All in One SEO) for Wordpress 2.3.x, (Settings - All in One SEO) for Wordpress 2.5.x
4. That's it!

For upgrading please use the built-in one-click updater (Options - All in One SEO). If you have to upgrade manually simply repeat the installation steps.