WordPress.org

What to do now depends on how up to date your theme is:

Modern theme with widget support

The plugin is a widget. If your theme supports widgets, and you have installed the widget plugin, adding the plugin to the sidebar is easy: Go to the presentation menu and drag and drop the widget into the sidebar (Screenshot). Don't forget the Get Recent Trackbacks box. And you might want to change the title. All done.

Old school theme without widget support

You need to insert the following code snippet into the sidebar template.
wp-content/themes/<name of theme>/sidebar.php

<?php if (function_exists('get_recent_comments')) { ?>
<li><h2><?php _e('Recent Comments:'); ?></h2>
      <ul>
      <?php get_recent_comments(); ?>
      </ul>
</li>
<?php } ?>   

<?php if (function_exists('get_recent_trackbacks')) { ?>
<li><h2><?php _e('Recent Trackbacks:'); ?></h2>
      <ul>
      <?php get_recent_trackbacks(); ?>
      </ul>
</li>
<?php } ?>