WordPress.org

1. Upload no-category-base.php to the /wp-content/plugins/ directory
2. Activate the plugin through the 'Plugins' menu in WordPress
3. That's it! You sould now be able to access your categories via http://myblog.com/my-category/

Note: If you have Wordpress 2.7 or above you can simply go to 'Plugins' > 'Add New' in the Wordpress admin and search for "No Category Base" and install it from there.