open your script editor up (bottom left hand corner button) and then copy and paste the script in or open the file and then highlight the entire script and hit the small enter key on your keyboard (on the right hand side)and it should execute. Now this particular script there is a function (i dont remeber what it's called probably the same as the filename) type that into the script editor (or the command line at the bottom of your maya window) and hit enter and it should run. that's it really. Check the help docs for more info
Alan
Technical Director - Framestore
Currently working on: Your Highness
IMDB