If you don't want to read the documentation and just want to install everything in TeX Live, under a Unix-like system, here is a bare recipe. (Windows installation is GUI-based and not described here.)
To acquire the software in the first place, either get the DVD and/or CD from a user group (ideally by becoming a member), or download the 700+MB bzipped ISO image from CTAN, uncompress it, and mount it (e.g., mount -t iso9660 /dev/cdrom /mnt/cdrom). Details for all this are in the documentation.
Then, to install (comments are in italics):
cd /the/texlive/distribution bash ./install-tl.sh s (scheme) c (install everything) d (directory) 1 /usr/local/texlive2005 (your installation directory) 2 /usr/local/texmf-local (your local hierarchy) r (return to main menu) i (install)
It takes about half an hour to copy all the files.
You don't need to change the installation directories if this is a first-time install, or the defaults (/usr/local/texlive/2005 and /usr/local/texlive/texmf-local) are suitable.
Then, if you need to configure for 8.5x11 letter-size paper, follow
up with something like this:
texconfig paper letter
(Use the syntax for your shell, your own chosen directory, and your own system name instead of i386-linux, naturally.) This will also build all the formats.
If you are installing for a multiple-user site instead of personal use, run texconfig-sys instead of texconfig.
Please email comments or suggestions.