This was sort of tricky for me too, I did the following which worked pretty well.
chmod
the egg to be executable: chmod a+x [egg]
(ie, for Python 2.6, chmod a+x setuptools-0.6c9-py2.6.egg
)./[egg]
(ie, for Python 2.6, ./setuptools-0.6c9-py2.6.egg
)Not sure if you'll need to use sudo if you're just installing it for you current user. You'd definitely need it to install it for all users.