Rams

Some more information on your system would help here.

The basics are as follows:

1) Shut down the PC and be sure to unplug all power.
2) Open the case and have a look inside. Look for the RAM slots, check your motherboard manual if you don't know how they look.
3) Make sure the RAM will actually fit into the slot on your board; don't try and force it. If the slots and gaps don't line up, you've bought the wrong kind of RAM.
4) Insert the module and push gently until it locks into place. There may be two connectors (one on either side of the slot) that you have to push down until they click.
5) Boot up the PC and see if it picks up the new RAM.

That's enough for now. Shout if you have problems.

After unplugging I always push in the start button to drain stored power out of the system before messing around inside.

Hopefully we don't have the case of, "My RAM doesnt fit in any of the slots!"
Then turns out the OP bought DDR3 RAM for his pc that uses DDR2 RAM.
Sadly it happens alot.

fyi,
you need to know your motherboard before you go out an buy RAM so you know what type and the capacity each slot can hold (example: you can't stick a 2gig ram in a 1gig slot).

after that do what herr_koos says and make sure the RAM is secure...had a friend once who didn't secure and the RAM started smok'n