Usually it goes like this:

1. download the installation file (an evaluation version is avalaible at the VMware site and it should work for 60 days), burn it to a media (a CD should be fine)
2. reboot the system and select the CD/DVD drive in which you have inserted the media
3. select a target drive (HDD), confirm selection on the next prompt
4. select the desired keyboard layout
5. set a password (it should contain at least 7 characters - no complexity is required for this type of installation)
6. confirm that you're ready to repartion the target drive (CAUTION: from this point on all of your data on the target drive will be almost certainly destroyed beyond recovery as the disk will be reformated / repartiotioned!)
7. after the installation has ended, reboot the system (depending on the system itself, you might have to choose a boot drive containing your newly installed ESXi host) - you can press "Enter" to save 4 seconds of your time (speeding the boot procedure up)
8. when the ESXi has been started, press the F2 button to configure it (a few example pictures for this procedure can be found below)
9. install Vmware vClient (or vCenter Server or VMware Workstation) to the system from which the newly installed ESXi host will be controlled (you should enable the .NET 3.5 framework and install any needed updates to the vClient)
10. after the vClient has been installed, select your ESXi host IP address, enter the username (at this point it should be still set to root) and previously entered password
11. start the connection and ignore the certificate error (security warning) - optionally, you can also check the box to remember this selection (like shown below):

Notes: during this installation a datastore is created automatically (on the target drive). I'd suggest not touching this drive (including changing its drive letters under a secondary OS eventually installed on this system), in order to prevent potential problems with the installation (your ESXi might not work if you tamper with the drive).