1. Download and install ExtensionFunctions.php
ExtensionFunctions.php is a helper file. Some newer extentions require this file. This file allows extensions to be modularized away from the MediaWiki core code. You can download this file from http://www.mediawiki.org/wiki/Download_from_SVN and once you download, copy the ExtensionFunctions.php file to $IP/extensions/ sub-directory of your MediaWiki installation.2. Download your extension
A list of extensions documented on MediaWiki.org is available on the http://www.mediawiki.org/wiki/Extension. Matrix and a list of extensions stored in the Wikimedia is available on http://svn.wikimedia.org/viewvc/mediawiki/trunk/extensions/.3. Install your extension
You can install extention by simply adding a line in the LocalSettings.php file in the following manner:include("extensions/NewExtensionName.php");
Note: Replace NewExtensionName.php with your new extention file name.
You may refer Readme file if it requires any special steps to take care before the installation.