Mac OS: Drag the application to the harddisk. Anywhere. Preferably, but not necessarily the Applications folder. (Not necessary for the machine to work but for the human to find it in case he wants to have a look.)
Windows: Double-click an installer. Say yes, no. Accept. Do not inform me. Continue. Yes. No. Finished? Launch right away or later. Maybe restart. Not now? Later!
Movable Type: And this is really old-school. Download the ZIP. Don't select tar.gz. Extract. Takes eons because it is thousands of files. Connect to your server via FTP. Yes, Robert, FTP. I agree that I should have forgotten all these medieval techniques. Nevertheless. Locate 2 separate folders. MT in cgi-bin and mt-static in web. Create backups of those folders. Transfer all files from the extracted ZIP to those 2 folders manually. Be aware of the right location. Check file permissions after transfer. Is it really 755 for all CGIs. Meaning Owner: Read, Write, Execute. Group: Read, Execute. Other: Read, Execute. Not right? Check the upload mode. Most of the MT files need to be uploaded in ASCII mode, another name for Text mode. The images that MT uses for its editing interface are .gif files and as such need to be uploaded in Binary or BinHex mode. Ok. Still not working? Out of luck.
Or maybe with a provider who claims that it's an issue of the software. No, it has nothing to do with too low a memory provided. If I could switch soon and without a hassle, I would.
[This is what I see after every single publish and what you see after every comment - nevertheless it works:
The server encountered an internal error and was unable to complete your request.
malformed header from script. Bad header=Out of memory (Needed 8164 by: cgiwrap
If you think this is a server error, please contact the webmaster.
[Update 10:55 AM: Upgrade failed. Does not work. Sticking with 4.21]