First, you must download the latest version of Drupal from Drupal.org, and untar the downloaded file in your web server's document root directory. Next, go to the /sites/default directory and copy default.settings.php to settings.php. Now go to the site in your browser, and the install script (install.php) should automatically run.
Before installing Drupal, you must create a MySQL database. Make sure the database uses the utf8_general_ci collation. Install.php will ask for the database name, and a username/password combination that has the appropriate rights. This database connection information is then automatically placed in your /sites/default/settings.php file.