I'm not sure where you're stuck.. do you mean how to install the module to DNN, how to install it on a page. or how to set it up?
If you're using the latest 4.40 version of DNN then it isn't available by default. You have to log in as host, go to the modules menu under Host, scroll down and tick the box to install the module - or to put it better; 'Make the module available to your portal'.
If you already have it installed and want to add it to a page then it's a matter of learning how to add any DNN module to a page. The Blog is the same as any module in that regard. Bascially, create a page, select the Blog module from the dropdown list at the top of the page and click 'Add'.
If you are trying to configure the module after it is installed then I can appreciate the confusion because the Blog is not easy to figure out and set up. There is a post pinned at the top of the Blog forum that attempts to clarify this. If that is insufficient then, when I get home in a few days, I'll post my own notes on setting it up.
Hope there's something in there that helps.
Rob