Copy the file to your web server (or download it there) then execute it on the server. The files should be installed in your WWW_ROOT\_ScriptLibrary folder.
If you have multiple web sites on your web server you may want to specify an alternative directory and create a virtual directy call /_Scriptlibrary in each of your web sites pointing to the common location.
For instance, you may install the files in C:\RSCRIPT and create a virtual directory call /_Scriptlibary that points to C:\RSCRIPT
Once you have the files installed on the web server, and the virtual share created (if necessary) you are ready to configure your client and server code to use Remote Scripting.