This example is one of the most complex options for Windows XP Users, installing Simplified Chinese:

Go to the Control Panel >> Regional and Language Options
Select the Languages tab and check the "Install files for East Asian languages" checkbox
Click Apply (You usually need your installation CD to copy the extra files over)
...wait for it to be done...
Click the "Details..." button on the same frame. This should open the Text Services and Input Languages window.
From there, click the Add button in the "Installed Services" frame
Select the desired Input Language (e.g. Chinese (PRC) )
Check the Keyboard layout/IME checkbox
Select the proper keybord (i.e. Chinese (Simplified) - Microsoft Pinyin IME 3.0)
Press OK to add the IME language into your list of Installed Services

Note: the default keys to change the language you are working in is Left Alt + Left Shift.