Codex has full instructions on how to install WordPress at WordPress.org, covering:
Things to Know Before You Begin Installing WordPress
The Famous 5-Minute Installation
Detailed Installation Instructions
Common Installation Problems
WordPress in Your Language
Installing WordPress in Your Language
How to Install Multiple Blogs
How to Install on Your Own Computer
Easy 5 Minute WordPress Installation on Windows
Getting Started with WordPress (much more installation info)
Well worth a read for new (and old) WordPress users.
Article at: http://codex.wordpress.org/Installing_WordPress