One thing that Google didn’t make perfectly clear in its Google Blog announcement was that you need server-level administrative access in order to install and use this tool. (Instead, they say it’s a “server plug-in”, which can be confusing to a lot of people.)
For those who just looked at what I said and went “Huh? He just said what?” I’ll repeat it again. You either have to be a server administrator or know one in order to install this. If you don’t have that kind of access to the server, you’ll be better off using another sitemap generator program (or writing them out by hand).