You can either go to siteadmin and then open Fantastico (under Web Apps) and it installs everything for you with a few clicks, or you can install it manually.
First go to Databases->Manage Databases and Users, create a new database and associated user.
Then extract the zip you downloaded, rename the file wp-config-sample.php to wp-config.php, edit it and put the database, password and user that you just created, open your web site and you are good to go, as it will go through the WP instalation process automaticaly.
Enjoy!