If you are going to use Magento for the first time then its good to install it with sample database to test it. Here are the steps to install it with sample database.

Step 1: Download Magento zip from  http://www.magentocommerce.com/download.

Step 2: Download sample data zip from http://www.magentocommerce.com/download.  It contains a sql file named magento_sample_data_for_1.6.1.0 and a media folder.

Step 3: Upload the Magento zip to your server and unzip it.

Step 4: Change the permissions of the following folders so that they are writable by the web server.

/app/etc
/var
/media

Using permission 755 will work, in case it does not work use the permission 777.

Step 5: Upload the Sample data zip to your server and unzip it.

Step 6: Create a blank database and not down the database name, username and password.

Step 7: Import the sample database provided in the sample data in the newly created database.

Step 8: Copy the media folder from the sample data folder to the Magento media folder.

Step 9: Create Virtual hosts if required and make entry in the hosts file [Optional].

Step 10: Bypass the proxy for the virtual host created in browser in case you are using a virtual domain. [Optional].

Step 11: Access the Magento installation URL in browser.

Step 12: Fill up the details in the wizard. Use the details of the database you just created. All done.