Upload Drupal to your web hosting using FTP
In the screenshot you will see the Drupal 6 files and folders that would be uploaded to your web server using an FTP program (Filezilla).
Download Drupal Core from http://drupal.org/project/drupal
For some web hosting the folder you upload to would be "httpdocs" or "public_html". It may also depend if you are setting up your "master domain" or an "addon domain". Consult with your web hosting company if you are not sure.
For Drupal 6 you will need to make a copy of sites/default/default.settings.php and name it settings.php.