Save the files pst-bezier.sty|tex in a directory, which is part of your 
local TeX tree. pst-bezier.pro should be saved in ../texmf/dvips/pstricks/
Then do not forget to run texhash to update this tree.
pst-bezier needs pst-plot and pstricks, which should be part of your
local TeX installation, otherwise get it from a CTAN server
http://mirror.CTAN.org


Save the files

pst-bezier.sty 
pst-bezier.tex
pst-bezier.pro

in any place, where latex or any other TeX program will find it.
Do not forget to update your database, when installing this
package the first time.

pst-bezier uses the extended version of the keyval package. So
be sure that you 
- have installed xkeyval with the special pst-xkey
  (CTAN: tex-archive/macros/latex/contrib/xkeyval/)
- do not load another package after pst-bezier, which loads
  the old keyval.sty or pst-key.tex


If you like to get the documentation file in another format run 

latex pst-bezier-doc.tex
bibtex pst-bezier.doc
latex pst-bezier-doc.tex
dvips pst-bezier-doc.dvi

to get a PostScript file. But pay attention, that the pst-bezier
files are saved in the above mentioned way, before you run
latex on the documentation file.

The intermediate DVI file works only with viewers which can 
interprete the embedded PostScript code.