If your web host has Fantastico, you can use that to automatically install a WordPress blog on your server.  If it doesn't, here is how to do it manually...

1. Download the latest version of WordPress from this link: http://wordpress.org/download/

2. Extract all files and upload them via FTP to your website.

3. Create a MySQL database from your cPanel and add a user to it, make sure when you add the user that you give all privileges.

4. Now come back to to the files of WordPress. There is a file called wp-config-sample.php.  Open this file and change the database name, username and password. Now save the file.

5. Rename the file wp-config-sample.php to wp-config.php and delete the old file from your web server and upload that wp-config.php file.

6. Now install WordPress by loading http://www.yourdomain.com/wp-admin/install.php in your browser.

7. Enter a specific email address and password.

If you like to make it even easier, get this 106 page PDF manual that shows an automatic as well as a manual WordPress blog installation step-by-step with screenshots. Click here to check out Kevin Brown's $9.95 BlogStorm Blueprint, the key to setting up and optimizing a Wordpress blog on your own domain.  Just follow the instructions and the screenshots.