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/.
Activate the plugin through the 'Plugins' menu in WordPress
Visit your newly created PhotoXhibit tag
Create a new gallery by going to the 'Build Gallery' submenu
Put [photoxhibit=IDOFGALLERY] in one of your post or in your sidebar or where ever you want and thats it.