First of all you should go to NXJ downloads to find the version of leJOS you want to use. When downloaded and unpacked you are ready to install leJOS on your computer and NXT. To install and run your first Java program on the NXT read the README file contained in the leJOS download. This is the complete description of what to do.
In the leJOS Tutorial there is a more readable description of the installation process. The Tutorial also include an installation guide for e.g. a leJOS plug-in for Eclipse.