preferably right where it will be used. or just unzip it anywhere and drop/upload the whole "blog" folder into the root of your web server, or wherever you like. you can access is right away..
2: click the "configure" link on the sidebar
Note: file permission should be good from when I archived it (should work on all the major platforms when unzipped in place). The server will need to be able to write to certain files. If it can't, see the installation section (next) for details on how to make the blog file writeable.