First of, you need to have your Selenium Server running. You need to download a file called Selenium-server.jar from www.openqa.org or from anywhere you find the selenium IDE or Remote control packages.
After you have downloaded this, you would need to run it. Since its a jar file you will need to have java setup correctly. For this goto environment variables ( you can do this by right clicking on My Computer-> Advanced-> Environment in windows XP or you set it through command prompt using set Path =c:javain) This is just a example path, but you will need to set the exact path later.
Now you can test it by going to the command prompt and typing in java. Incase you have set up java properly you would get the statements as shown in the picture below: