This video shows you how to Install Drupal 6 and shows off the new, improved installer. It walks you through all the steps, including downloading Drupal, putting it on your site with FTP, setting up a database and running the installation script. It also looks at some common roadblocks and how to get around them.
Please note that in 6.3 the way the settings.php file is created has been changed from what is shown in the video. It is no longer automatic and you now need to manually create the settings.php file before continuing with installation.