You need to root your phone first. Look for a galaxy-s one click root somewhere here or google for it.
Once it's rooted download ROM manager from the market. You can use the free version but supporting is good.
Once you have that installed. Then put the Cog 2.4.zip file somewhere on your internal sd card (this means your phone's internal drive not an external sd card). Put it in the root directory. Then open rom manager and select to install from sd card. Once you do that it will ask you for the new ROM location and it looks on your phone's root directory as default. So you should see it right away. Select it and off you go!