Cycocelica,
First, you will need to set up a MySQL database.
FTP the files to the directory you want wordpress to be in. I recommend using
Cyberduck to do this as it is free and easy to use.
Go to the directory you have ftp'd the files to and run through the installation process.
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Alternatively, A Small Orange provides you with fantastico. That will do most of the work for you. Go to the fantastico section of your control panel and select Wordpress. Follow the instructions.
If you have any questions, I'd be glad to help.