1. You can put it in a post, in the sidebar (using a text widget) or on a page.
2-4. If you're going to put it in a post or page, then go to your dashboard -> write -> post (or page depending on where you want it). Paste the given code in there. Then publish. If you want it in your sidebar, then to to dashboard -> presentation -> widgets. Drag a text widget to the sidebar box. Click the icon with the three little lines on it. A pop up box will open. Paste the given code in the box. Click the x to close the pop up. Then save the changes (button is under the available widget box).
All that said, it would help to see the code you're trying to use. Java script/flash/iFrames are all stripped out due to security concerns. So if you do what I said above and it's still not working, post the code into a forum post putting it between backticks (`) which is the button next to the 1 (at least on my keyboard).