See the documentation for ESS in the ESS distribution
ess/doc/html/readme.html

There is even more detail in
ess/doc/html/ess.html


For the specific question about the emacs initialization file ~/.emacs,
that file is in your home directory which emacs will find.
The "~" abbreviation is required and is interpreted to be your home
directory.  In emacs  C-x C-f ~/.emacs <RET>

Then enter the line
(require 'ess-site)
and save the file with C-x C-s


Further questions should be directed to the ESS-help mailing list at
ess-h...@stat.math.ethz.ch


Rich

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