Just visited http://arduino.cc/en/Main/Software and grabbed the latest version of the Arduino IDE, version 0022. The instructions in the book vary based on operating system, but I'll be running it on a Windows Vista laptop (yeah, yeah... I know...) so the short walkthrough here might not match up to your installation.
After unzipping the 0022 folder, I attached my Arduino to my laptop with the USB cable (again, following the instructions here) and... just like the instructions said... Windows wasn't able to identify the device.
I opened up the Device Manager (see screen capture 1) and the device has the standard exclamation point error icon. Not a problem...
A pop-up window finally appeared that allowed me to specify the driver file locations (see screen capture 2). It found the folder and the correct driver and after a few "Yes, I give you permission" clicks, the installation began and finished with another window saying "The software for this device has been successfully installed." Yay.
Next, I clicked the Tools menu and selected the Uno from the list of available Arduinos. (It was the default, actually.) Next, I clicked the Serial Port selection and selected COM5 (which matches the COM port in the Device Manager assigned to the Arduino).
Finally, time to run a test sketch. Clicking File, I selected the Examples option and chose the Blink sketch. After a few seconds where the sketch downloads to the Arduino... see video.