Locate the hole on your bridge designed to hold your whammy bar. On most guitars, the hole is at the bottom of the bridge.
Screw the whammy bar clockwise until it hugs your bridge tightly, but not so tight that it won't move. Insert a small spring into the arm screw cavity to keep the arm from loosening once you screw it in. When you do remove the bar, place a piece of tape over the hole so you don't lose the spring.
Test out the bar to make sure you get the desired sound, by playing a few notes while holding down the bar gently. The bar should be pointing towards the peghead. Also, try playing a few chords, while experimenting with the direction of the bar.