jPFChat installs just like any other Joomla component... using the Joomla installer.

After installing a single zip file, you'll need to create a menu item pointing to the jPFChat component. The menu item gives you access to the chat page, which can be granted public, registered user or special access priviledges just like any other Joomla page.

There's also a tabbed page of SEVERAL jPFChat settings that you can access in the joomla administrator.