Gadgets are as easy to install as Blogger's default widgets. Simply go to Design in your Blogger dashboard and click the "Add a Gadget" link in the area where you want to install your gadget.
A pop-up screen like this will appear:
From here, you can browse gadgets in the directory, search for gadgets of interest, or add a gadget using the URL where it is hosted.
Once you have chosen a gadget to add, you should be presented with a configuration screen like this:
There will be different options here, depending on the gadget you have chosen to install. This example shows the configuration options for my Twitter Updates gadget.
At the very least, you should be able to alter the title of the gadget, however most gadgets have other configuration options available. A preview of how the gadget will look in your blog will appear below these options (do bear in mind that the width of the gadget may be wider when displayed in your blog if the area in which it is added has larger dimensions than the preview screen).
Once you've changed any settings, be sure to click the "Update" link in order to see the changes appear before you save. The gadget will then appear in your blog, and it's position can be changed in the Page Elements section of your dashboard.