There are a few different ways you can install Orchard.  Probably the simplest if you're not already using WebMatrix is to use the Web Platform Installer.  The distribution files and source are also available, if you prefer - get them from the current release on CodePlex.  If you are using WebMatrix, you can install Orchard directly from there as well.  There's a walkthrough that covers much of what I'm showing here on the Orchard site - this article shows my own experience with the latest installation of the project.

First, you'll need to install the Web Platform Installer, if you haven't already done so.  As I write this, the latest version is 3.01, according to the launcher filename (wpilauncher_3_01.exe).  Running this should give you something like this:

Next, search for Orchard in the search box (or just click Add if you see it in the initial results).

Click the Add button next to the release you wish to install.  You can doubleclick on an individual item to see its details.  The 2/21/2011 release is version 1.0.20, which is what I'll be using.  I expect a 1.1 release to be coming out soon, but for now I'm going to stick with the latest approved release.

Click Install.  Then click I Accept on the next screen:

Next, provide the following bits of information about where and how you would like Orchard to be installed. 

Assuming you choose wisely, you should be able to Continue, and shortly thereafter you should see this:

Go ahead and click the blue Launch Orchard CMS link to test out the newly installed application on your local computer.  You should see something like this (note, I changed the port to 8086 here due to a conflict with another site):

Fill in the blanks one last time - for your first try I recommend using the default built-in data storage option.  After a short while (maybe 20 seconds on my machine), the site should be fully configured: