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Ok, to install magento you need magento installer.
lets start to downloading magento ecommerce from the official website : magentocommerce.com
you can download two version of them:
1. full release - about 16.5mb (and you need to upload it again to your host)
2. downloader - about 717kb the downloader will install the latest stable Magento version (this version will automatic download the latest version directly into your host) so, i suggest to use the automatic one.
and also you will need the sample data (9.8mb) - available on megento website.
Note: if you don't want to register at magento website just click here.