IS this your server or a hosted solution?
If its your server then you need to go sit down at it (or open a RDP/SSH session) and download and install:
a webserver software
MySQL
PHP
How do this varies of course by OS. Since you haven't told us what OS your server is running I cannot really give you better instructions then that.
If this is a hosted solution then chances are those things are already installed for you... and you need to get a FTP client and transfer the files from the distribution to the server. If this is something that you are not familiar with, you might want to google "how to FTP files" or something similar.