Here's a page that walks you through the installation. If you still have trouble, can you provide a bit more info about the problem you're having--can you indicate the steps you've taken and include any error messages you're receiving? I assume you're using Windows?
Also, please post problems with Flash Player in one of these forums:
ADOBE FLASH PLAYER IS IN DOWNLOADS YET WHEN I WANT TO PLAY A GAME IT SAYS INEED TO DOWNLOAD FLASH PLAYER WHICH IS ON MY COMPUTER
You need to close all instances of iexplore.exe, even if they are running in the background. Use the Task Manager's Processes tab.
P.S. please do not post in all-caps; it's near impossible to read!