Inside the zip file for version 1.5 is a readme page... follow step by step. You do need to have a database setup for it so you can put the connection info in the wp-config file. Don't know if you set your own up or have your host do it, but that's the most important thing.. the rest goes pretty easy. Now if you want to import your past posts, that might be a bit trickier.. I used greymatter prior to wordpress and had some hoop jumping to do to transfer everything.
Search their support forum too.. with luck someone else has asked before.
Be happy to give you moral support on icq but that's about the extent of my talent I'm afraid
