Welcome to apple discussions....
You don't have to install anything because they came with Mac OS X. However, you have to configure your mac in order to make the input method(s) that you like before you can use them.
Open System Preferences> International> Input Method, and then select the input method that you like. You can also modify the shortcuts for selecting the input methods in the middle part of the same screen. You can check the "Show input menu in menu bar" in the lower part of the same screen so that you can choose the input method you like in the menu bar using your mouse.
If you find that you don't like the input method come with Mac OS X (but personally, I am recommending you to try it first, which is not bad indeed), you can visit the
OpenVanilla website to download an alternative (and free) input method package for your mac.
Hope can help and hope you like your mac.
