So confused! Severe newbie needs help with plug in.

So confused! Severe newbie needs help with plug in.

My background knowledge consists of a 36 hour Basic Web Development course. So this hopefully gives you an idea of how new all of this is to me.

I'm working on creating a slideshow in Dreamweaver CS6. All went well until I was told to add a query plug in.
I chose the download button on the cycle plugin. It shows me a large amount of script. 

1) Do I save this as a specific type of file? .js? .html? 
2) Where am I supposed to place this file / script?
2) How am I supposed to know what and where to place in my html file? Where do I find the specific "cycle" function fI'm looking to use? Example; I want the photos to "fade" from one to the other.??

I've been searching for clear answers all day and none of this is making sense to me.

Please help, but speak very slowly to me. ;)