Zotero is a free citation manager that you can use to collect, manage, and produce citations for research sources. Zotero allows you to attach PDFs, notes, and images to your sources, organize them into collections for different projects, and create bibliographies. It automatically updates itself periodically to work with new online sources and new bibliographic styles.
Zotero Quick Start Guide
See also this great guide published by the Zotero developers themselves.
To install, go to the Zotero site and choose the appropriate program. Click Download and follow the instructions.
If you have any problems, check the Zotero installation page.
You'll probably also want to download and install the Microsoft Word citation plugin (or the OpenOffice plugin if you're using OpenOffice). These allow you to easily cite items from your Zotero library in your papers.