Detailed instructions can be found at http://www.konqueror.org/i18n.html
Just install Qt™, kdelibs and kdebase, and from your favourite window manager, just launch Konqueror. It should work just fine, but if it doesn't (KDE developers don't test that case often), report it to http://bugs.kde.org and try running kdeinit before running Konqueror, it usually helps.
Generally in the ~/.kde (or ~/.kde2) directories. Don't alter these files unless you really know what you are doing.
The ~/.kde/share/apps/konqueror/profiles directory holds individual files containing settings for each of your profiles.
Your bookmarks are held in ~/.kde/share/apps/konqueror/bookmarks.xml
Cookies are held in ~/.kde/share/apps/kcookiejar/cookies
Your history, as used for the auto-completion feature, is in ~/.kde/share/config/konq_history
In the directory ~/.kde/share/config/ the files konqiconviewrc, konqlistviewrc and konquerorrc hold a whole lot of general configuration settings.
The directory ~/.kde/share/apps/kio_http/cache/ contains the browser cache.
The Sidebar View uses the files and subdirectories in ~/.kde/share/apps/konqueror/dirtree
Any directory specific view settings are put into .directory files in the individual directories.
The only way at the moment is to delete the ~/.kde/share/config/konq_history file, Konqueror will create a new, empty, one next time you use it. But note that you can't use Konqueror to delete this file; you have to open a text terminal and do rm ~/.kde/share/config/konq_history
For some reason this is done using the Proxies dialog box, choose Settings->Configure Konqueror...->Proxies