Does anyone know hoe to install a plugin for a wordpress blog?

I have a few plugins i want to install, but can figure out how to do it. Can i only install a plugin if the blog is hosted on my own domain, or can i install it if my blog is on the wordpress domain..? if so.. how?
any advice is appreciated
ummm… im not sure, kinda new to this…thats cool i will figure it out 🙂