It comes installed on your Mac. Look in the Applications folder, in the Applescript folder. As I recall, you'll want to first run the Applescript Utility to click the "Show Script Menu in menu bar" and set the default script editor to Script Editor (if it isn't there already). This only needs to be done once. You'll get a little menu (a stylized scroll) in the menu bar that will allow you to launch saved scripts from various applications.
The Script Editor is also located in the Applications/Applescript folder. Start it up, and copy and paste the script in the thread into the window it will give you for editing scripts. Click the Run button to run the script to try it out. If you like what it does, you can save the script for later use. If you save an application's scripts in <your home directory>/Library/Scripts/Applications/<application name> they will only appear in the menu when you are in the appropriate application. For OmniWeb, this folder would be <home>/Library/Scripts/Applications/OmniWeb, and you'll have to create the OmniWeb folder the first time you try to save a script there. When you save your script, the defaults of File Format: Script and no other options checked should be fine. See the Script Editor help for more information on some of the fun stuff you can do even if you're not a dyed-in-the-wool programmer type.