What server are you running?
Essentially all you need to do is what is listed in the INSTALL.txt document.
To install XenForo, you will need to extract the zip and upload all the files from the contained upload directory onto your web server. You may upload into your web root, or any folder within the web root. This shall be referred to as your XenForo Directory.
Having uploaded the necessary files, you should direct your web browser to the URL that corresponds to your XenForo Directory and add '/install' to the address (eg: http://www.example.com/xenforo/install). This will trigger the installation process, which will guide you through the necessary steps to get a working XenForo installation running on your server.
Have you tried installing it?
Did you encounter any errors?