Don’t quote me on this, but it seems to work for me the following way:
Once you install through Magento Connect, you don’t have to do anything else to actually install it.
To implement it, however, you must change the code mentioned on the extension page.
This is done by editing the file at app/design/frontend/default/default/template/catalog/product/list.phtml
Installation does nothing for me either - I install using the Downloader, but get errors when I try to use the function. I checked where the files for this extension are supposed to be but nothing is there.