Installing the hydrocool is very easy. Corsair included a very nice and detailed manual and a quickstart guide.
First install the PCI-controller card in a free PCI-slot. Connect the molex connector to it. Connect the thermal feedback cable to it and also the power off cable should be connected to your motherboard and to the PCI-controller card (when you power-on your pc this makes sure that the Hydrocool unit is also powered-on).
After this is done, you have to put the tubes through the holes in the pci-card. Cut the tubes to the correct length and connect the self sealing nozzles to them (when not connected to the unit, they will not leak water).
Connect the tubes to the unit and poor half the bottle of additive in the reservoir, fill the reservoir with distilled water and have the bottle nearby when you power-on the unit (wait until the waterblock is connected).
Mount the waterblock on your CPU (which is very easy), it makes use of all the 3 clamps on the socket (couldn't test it on a P4 system -> I don't have one, if someone has a spare, don't hesitate to send it to me :-) )
Now power-on your computer and be ready to add some more distilled water to the unit. A loud siren will sound telling that there is not enough water, so fill it!.
When the reservoir is completely full, your unit is up and ready.