That's an ASICMINER Block Erupter, here's a couple of step by step guides:

http://rdmsnippets.com/tag/install-block-erupter-on-windows-7/

http://bitcoinrigs.org/mining-resource/how-to-setup-asic-block-erupter/

http://bitcoinbtc.net/usb-asicminer-setup-how-to-setup-usb-asicminer-block-erupter/

Now, for the bad news, if you ran it for a year, you would make about $8 worth of bitcoins. The difficulty level is so high right now, using those devices to mine really won't give you the hashing power you need to make money mining. That devices does 330 MH (megahashes) a second, in the mining landscape today, to make $25 a day, you would need 300,000 mh/s (or 300 GH).

Watch the bottom video on bitcoin mining: http://www.contractmine.com/what-is-bitcoin/