Unzip and copy the "latest-post-carousel" folder inside your "wp-content/plugins" folder for Wordpress versions below 2.6.2. For Wordpress version 2.7 , click on the plugin and then add new plugin and then browse and upload the zip file you have downloaded.
Go to your administration interface for plugins and activate "Latest Post Carousel".
In the settings go to "Latest Post Carousel" and set the parameter of the latest post slider.
If you are using the dynamic sidebar (widgets) you can now drag and drop Latest Post in the widgets administration.