SE4 has a special list of instructions in it's package that tells you step by step what to do to install it. However, SE4 is recommended to be hosted on dedicated servers as they do eat up server resources like a siv. If you really want to run a social network, consider other alternatives such as SE3 (if you can still get it), Wordpress Multisite with Buddypress or Mingle installed (if using buddypress, use Custom Community theme. Mingle uses any ordinary Wordpress theme but has little plugin support, unlike Buddypress). There's also Elgg, Pligg and even OxWall (Essentially Wall.fm). All the alternatives I mentioned are free (with the exception of SocialEngine 3) and are fully capable of being run on shared hosting without an issue.