I assume that you are installing Protégé version 3.3.1 with Pellet version 1.5.1 in a Windows-XP platform.
You should follow the following steps:
Installation of Protégé is very easy. Just download the appropriate installer from the Protégé web page, execute it and follow the instructions.
Installation of Pellet is also very easy. You should go to the Pellet Web page, download the zip file for Pellet version 1.5.1 and unzip it in a local directory. Please note that Pellet requires to have installed a Java Virtual Machine compatible with Sun's Java version 1.4 or above.
The following steps should be followed to run Protégé:
Run Protégé from your Windows menu.
You can either choose to select the New Project button or to start from an existing ontology (for instance the Simple University Ontology provided with the Module material) using the Open Other button. If you start a new project you have to follow these steps:
Select OWL/RDF Files.
Provide an URI for the new ontology.
Select OWL DL.
Select Logic View.
The following steps should be followed to be able to run reasoning services inside Protégé:
In the Pellet directory, double click over pellet-dig.bat.
In Protégé, select OWL -> Preferences.
In the text box labelled Reasoner URL write: http://localhost:8081.
Press the Close button.
You can now using the OWL tab check the consistency of the ontology, classify the ontology taxonomy and get ontology instances inferred types.