<p>I`m using Delphi 2009 and want to operate some XML data. I heard that nativeXML is one of the most convenient ways to do it. so how can I install this library?</p>

Based on their
web site
, it sounds like you just download the .dcu file, put it in a convenient directory, and add that directory to your type library path (tools->options->library path).
After that, just add the unit to your uses clause and you should be good to go.