You install it just like any other module, through your admin section.
Download the module on your desktop of folder of choice.
Login to your site Administration.
Under ADDONS, you will see MODULES. Click on it.
Click on BROWSE, find the module (it should be a ZIP file) and select it.
Then when it's done, go to PAGES, and create a page, giving it a name like "events" and instead of WYSIWYG for a 'type', select Event calendar, or whatever the name of your calendar is. Save.
You then access the event page from the PAGES page, click on the name of that page and you should be able to figure it out from there.
Hope this helps!