Upload the xsltrss plugin directory, along with its contents, to your
worpress plugins directory: /wp-content/plugins/.
Modify the xsl directory to enable write access (only if you want to use the
admin interface to make changes to the installed tampltes, or create new
template.)
In your wp-content folder ensure that there is a folder anmed "cache" which
is writable. (The plugin will however attempt to create this automatically.)
Activate the plugin and follow the instructions in the description.