The program is a short snippet of code in your web browser that runs whenever you visit lesswrong.com. The precise method of installation depends on your web-browser:

• Firefox: you need to install the Greasemonkey extension, and then just click on the "download here" link above.
• Google Chrome: just click the "download here" link above.
• Opera: I think you can just click the "download here" link. (I'm not 100% sure.)
• Internet Explorer and Safari: this page has links to some help on getting user script support; once you've done that then just click on the "download here" link above.

Once you have got to this stage and clicked the link, a pop-up should appear asking if you want to install this script. It will probably have a warning about "this script can collect your data on lesswrong.com", this particular script is safe to install: it doesn't send any information anywhere (or even store anything for longer than you are viewing a specific page).

(I haven't been able to test it in Opera, Safari or Internet Explorer, so there is no guarantee that it will work correctly for them.)