A Blender installation automatically installs Python as well. Unless you want to update Python, you don't need to install Python seperately. Just follow the basic instructions.
1) Download the collada importer zip file
2) Put the content of the zip file in your scripts folder.
If you never set up any, just create a folder somewhere (preferably somewhere you identify as belonging to Blender) and make this folder the scripts folder in Blender by navigating to the user preferences, selecting the tab/button "File" and clicking the folder icon on the "Scripts:" line. Now direct to the created folder. Finally save your changes ("Save as default"). Exit Blender, put the scripts from the zip file in your scripts folder and restart Blender. That should do.
(Explanation valid for Blender 2.6x)