WordPress.org

Backup both the filesystem and database before running the conversion!

1. Make sure you're hosted on a linux server. (requires file)
2. Extract exhibit-to-wp-gallery.php and transfer it to the /wp-content/plugins/ directory
3. Activate the plugin through the 'Plugins' menu in WordPress
4. Visit "Exhibit to WP Gallery" in "Settings" and follow the instructions.

I recommend you read the source code of the plugin before running it. It has only been tested on one blog, and might make assumptions that doesn't hold true for your installation.