1. Click the download link and save the file on youre computer.
2. Double click to extract the files
3. The drupal files are listed. Notice the Sites folder. You have to make a copy of a file within that folder in the next step.
4. Navigate to Sites - default and copy the file default.settings.php. Call it settings.php. Now copy the files to youre server, either on the root or within a custom folder.
5. When files are uploaded go to your browser and type the url to youre drupal installation, you should probably end the url with install.php.
6. This is the Drupal 6 install screen.
7. Fill out this form and click continue
8. Choose a sitename (you can change this later), site email (a valid e-mail address) and select a username and password.
9. If youre server supports clean urls it's recommended to be used as well as automatic update reminder. Hit save and continue when ready.