AceSEF is easily installed as any Joomla component. That should be done through your site's backend.

Once you log in, you should open the Extensions => Install/Unistall section and click on the [Browse..] button in the Upload Package File section. Navigate to the same AceSEF file you have downloaded earlier and select it. Then click on the [Upload File & Install] button to start the installation. It will install :

1. The main AceSEF component
2. AceSEF system plugin
3. Language files
4. Installer adapter that will enable installing AceSEF extensions via standard Joomla installer
5. Database tables (#__ acesef_bookmarks, #__ acesef_extensions,  #__ acesef_ilinks, #__ acesef_metadata, #__acesef_sitemap, #__acesef_tags, #__acesef_tags_map, #__acesef_urls, #__acesef_urls_moved)