You should just be able to plug it in, and it'll auto-install it's software. If by install you mean get it running, look through whatever it installs software-wise.
Restart your computer and try the other USB port. Worst case, call up whichever provider you're using it for and see if you can get a replacement unit or an installation CD.
No that's not me, and unlike the person who posted their problem in the link you gave me, a picture of a cd does come up but I still can't install anything.