This is really simple, but it's such a necessary addon for any server, it deserves to have an up-to-date How-to.

Installation
CODE
rm -fv csf.tgz
wget http://www.configserver.com/free/csf.tgz
tar -xzf csf.tgz
cd csf
sh install.sh


Uninstallation (is that even a word?)
CODE
cd /etc/csf
sh uninstall.sh


Resources:
Original Source of Instructions
Official CSF Page

Overview:
This is a fantastic script. I've used it for a couple of years now. It's been a large factor in combating several thousand attacks per month on our servers. If you can navigate a simple configuration file (or friendly interface if you're running cPanel/WHM) you can use this with ease.

Cheers and Happy Serving.