Upload comment-inbox.php to your /wp-content/plugins/ directory.
Activate it from within the WordPress admin interface.
Recommended: Turn OFF moderation e-mail notification in Options/Settings » Discussion
Done! Now every new incoming comment will go into your Comment Inbox (former known as the moderation queue). All comments (except spam) will appear on the blog immediately. Comments in the Comment Inbox can be archived (i.e. marked as "read"), spammed, or deleted.