Upload 'registered-only.php' to your plugins folder, usually wp-content/plugins/
Verify that the "Anyone can register" option in the Options->General page of the WordPress administration interface is NOT selected
Activate the plugin on the plugin screen
This plugin does not protect your feeds. So delete or disable the feed files to avoid people from reading your feeds. The feed files are wp-atom.php, wp-commentsrss2.php, wp-rdf.php, wp-rss2.php, wp-rss.php and wp-feed.php. Delete wp.php too, since this file is not controlled like index.php is.