The first step is finding a language pack for your language. Places to look inlcude, but are not limited to, the following:
Xoops Translations - Official XOOPS Development Site
Xoops 2.2 Core Languages - SourceForge.net

Most language packs come in zip files with the following folders:
install, language, modules

You just need to copy these folders into your Xoops root folder.

If your language pack does NOT come with the above three folders, you will need to copy the correct folders to the following locations:
xoops_root/language - you will find the "english" folder here by default
xoops_root/modules/any_module/language - seperate language files are needed for each individual module
xoops_root/install - optional since you will be deleting this directory once you have installed Xoops anyways

Please note: For basic site-wide language pack usage, it is important that you copy the appropriate language files to not only xoops_root/language, but also to the mandatory System module at xoops_root/modules/system/language.