Well, depending on the operating system you are running for your server, there probably is a pre-packaged RPM installer for it.
I just compiled mine from source...
Install the libraries by downloading and compiling as per the instructions here:
http://www.maxmind.com/app/c
Then download and compile/install the PHP module for it:
http://pecl.php.net/package/geoip
For my installation, the GeoCity .dat files go into
/usr/local/share/GeoIP/ (I think that's the default... don't think I would have changed the path for them).
You can download the .dat files from:
http://geolite.maxmind.com/download/...y/GeoIP.dat.gz
http://geolite.maxmind.com/download/...iteCity.dat.gz