I typically find it faster to simply SSH into the web server I’m working on and download the WordPress archive file directly onto the server.  By default the files in the WordPress archive extract to a "wordpress" subdirectory.  This is extremely annoying and not at all what the vast majority of people want!  You will almost certainly need to move the files into your "web root" directory.  I use the following procedure:

If you click on the commands noted in double quotes ("") below they will be copied to your operating system’s clipboard.  You can then easily paste them by right-clicking in an SSH session window.

At this point you’ve installed WordPress, but you must now make sure you’ve got a MySQL database setup before proceeding.  Some web hosting companies helpfully do this step for you when your hosting account is initially created. It’s quite common practice for such a pre-created database to have the same name as the second segment of your site’s domain name (eg "marketcrashers.com" might be supplied with an initial database called "marketcrashers").  The initial user name and password for such a pre-created database will likely match the user name and password of your Linux account on the server.  The "Create The Database And A User" section of the wordpress.org guide covers the different ways of checking to see if such a database has already been setup for you and how to create one if it hasn’t.  After you’ve made sure that a MySQL database has been created for use by WordPress, you can proceed to setup the configuration file.

Your basic WordPress installation (NOT including Thematic) should now be complete.  Anytime you need to access the administrative GUI in the future just visit the "/wp-admin/" page in a web browser.

While it is true that you can transfer files to your web host using the WordPress GUI or your host’s CPanel, I personally prefer to do so using a program called WinSCP which can use either the SCP(preferred) or FTP protocol. Basically I’d recommend creating the files which comprise your website locally on your own computer and then transfer them to your web host. A local file can be modified using something more powerful than the WordPress GUI editor. I personally use UltraEdit. This not coincidentally will also ensure you have a backup copy of your site in case something happens to your web server.

The ability to remotely log into your web host and have access to a Linux prompt, while not absolutely necessary, can be very useful.  I would recommend using PuTTY as your SSH client.  Like WinSCP, PuTTY is released as open source, and is thus free to use.  Notabene, on the PuTTY download page you will probably want the link under the title "A Windows installer for everything except PuTTYtel" if you are running Microsoft Windows.