You first need to create a database to host the script on your web server. You then need to prepare the files for upload (see docs)
Point the config file to your database and server with appropriate usernames and passwords.
Upload the files and CHMOD them (I recommend uploading in binary mode)
Point your browser to the installation page http://www.mydomain.com/forumdirectory/install/install.php
Follow the on-screen instructions.