FTP the entire "wp125" directory to your /wp-content/plugins/ directory on your blog.
Activate the plugin on the "Plugins" tab of the administartion panel.
Either use the included "WP125: Ads" widget, or place the <?php wp125_write_ads(); ?> template tag where you wish your ads to appear.
Go to the new "Ads" section of the WordPress admin, where you can tweak settings, such as the maximum number of ads to be shown at once (the default is 6), and how they should be displayed.