1. Unzip the package in an empty directory.
2. Open up wp-config-sample.php with a text editor like WordPad or similar and fill in your database connection details.
3. Save the file as wp-config.php
4. Upload everything.
5. Open /wp-admin/install.php in your browser. This should setup the tables needed for your blog. If there is an error, double check your wp-config.php file, and try again. If it fails again, please go to the support forums with as much data as you can gather.
6. Note the password given to you.
7. The install script should then send you to the login page. Sign in with the username admin and the password generated during the installation. You can then click on 'Profile' to change the password.
Where do I upload everything? Through the FTP or do I import in the MySQL thing? Dumb question, sorry.