WordPress.org

WordPress:

1. Unpack the plugin into /wp-content/plugins/.
2. Activate the plugin through the 'Plugins' menu in WordPress.
3. Modify login-style.css to taste.

WordPress MU:

1. Unpack the plugin into /wp-content/mu-plugins/.
2. Make a symlink to login-style.php in the mu-plugins directory.
3. Modify login-style.css to taste.

You can tell if it's working straight away by checking for a cute little Easter Egg on the standard login page.