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 t
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