1. Download it from http://wordpress.org.
2. Upload it to the public_html file on your host.
3. If your host uses cpanel, make a new sql database, making sure all the permissions are checked for the database user (it guides you).
4. Visit your website URL. It'll be an install page by default for the moment. Just fill in the information (database name, user name, password, etc.). Leave everything else alone usually, such as where it shows localhost and wp_ by default. Most hosts use localhost.
Sorry for the lack of details. Just visit the wordpress installation FAQ located at the site I gave. It gives detailed instructions for manual installation. I recommend manual installation anyway, as it's good practice getting to know your file system and phpmyadmin.