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Install it (apt-get install kde should work). Then create a file in your home directory named .xsession. In that file put the line "startkde". Next time you log in, X will run the startkde program, which will do exactly what the name says.
Well, .xsession isn't irrelevant because kdm or gdm will use it by default. It also works across *dm's as well as if you use startx to log in from console. Plus it allows you to easily start apps on X login. It's true that the menu in kdm or gdm will work fine, but .xsession provides a lot of power and flexibility, so I like to point people to it.