Setting up SubSonic 2.x
In versions 2.2 and before there was a small amount of work to get SubSonic setup properly with your application. This involved adding a Provider to your Web.config and then setting up your connection strings. It's not too detailed.
Setting up SubSonic 3.0
SubSonic 3.0 is written in (and therefore requires) .NET 3.5. The installation has been streamlined to literally dropping a folder into your application and editing a T4 file (_Settings.TT) to let it know which connection string to use.