Your first step is to visit
http://www.google.co.uk/analytics/ and sign up for an account. If you have an account for other Google services such as AdWords you can use the same log-in details. From there the website is pretty self explanatory, just follow the instructions and at the end of it you will be given a snippet of JavaScript something like this.
HTML Code:
<script type="text/javascript">
<!--
</script>
<script src="http://www.google-analytics.com/urchin.js" type="text/javascript">
</script>
<script type="text/javascript">
_uacct = "UA-2439798-1";
urchinTracker();
</script>
You simply insert this into the bottom of each page just above the </body> tag. If you have a website that uses a footer file that's embedded in every page then you only need to insert it into this one file.
Leave it a day or two then log into your Google account to check your stats.
That's about all there is to it.