Assuming that you managed to install an OS that offers a reasonable audio latency (I personnaly recommend a Linux distro – see my post about operating systems), installing Pd-extended should be fairly straightforward.
Binaries for Windows, Mac OS, Debian and Ubuntu can be downloaded here. Pd-extended can also be installed directly from the Ubuntu repositories.
If you want to use Pd on a machine with Fedora installed, you should enable the Planet CCRMA repositories and instal it from there (unless you feel comfortable enough to compile Pd for Fedora yourself). Planet CCRMA also offers a collection of Pd external which are not necessarily included in Pd-extended.
Do test Pd after installing it. I encountered serious issues in Ubuntu 9.04 or 9.10 (Pd taking ages to start, and general instability while working with it) which made move to another OS at the time.
If everything went fine, you can move on to the next post!