Make a new post and save it. Once you have saved a new post, the Exhibit controls become available below the post textarea.
If this doesn’t happen for you, something must have gone wrong somewhere. If you post more details about what you did and what doesn’t happen then hopefully we can help you out 🙂
I use the Image Browser plugin. You can find it at: http://www.bistr-o-mathik.org/code/wordpress-plugins/
After installing the plugin, you get a link “Insert Image” at the upper right of your WordPress Write page. You must first upload the image using the WordPress Upload page. Then when you go back to the Write page, you can use the “Insert Image” link to choose the photo to insert, determine if you want the image inline, a thumbnail (created with Upload) with a link to a full-size, or a text link to a full-size. The code is then generated for you; you click on “Insert Code” to add the specific code to the post at the position of your cursor in the entry you are working on at the time.