1. You need ROM Manager. It can be downloaded from the market. Free or paid both work.
2. Use ROM Manager to install the ClockWorkMod recovery. NOTE: after you install the recovery, there will be something named update.zip on the root of your sd card. Don't **** with that..
After you have CwM (as you'll see it called, and not to be confused with CM -- or CyanogenMod) you can 'flash' ROM or kernels (or anything else) via update_packages.zip. You find the package you want, put it on the root of your sd card, and then use ROM Manager to reboot into recovery.
You can put things on your sd card by simply mounting it on your pc and dragging the file over. This may also be a good time to download the android sdk, or at least adb (android debug bridge) and install it and get it working. This is strongly recommended as it can save your ass. For this to work you must also enable usb debugging under Applications (strangely) then Development in your settings menu.
Finally, I strongly recommend the voodoo lagfix. It makes your applications load faster and puts a permanent CwM recovery on your device. This means you can boot into a useful recovery just by holding both volume buttons and the power button. Alternatively, if you have adb set up you can type "adb reboot recovery"
This is the general outline of things. It is safe so long as you read everything 3 times over before you get greedy and start messing with your phone and most importantly, don't do something if you don't know what it's going to do..
All of this is documented on this site and in these forums for get digging through the stickies!!