Once you purchased uDropship (and pro), you should be provided with a download link for the software. When you click on it, it should download a zipfile to your local machine.
Unzip the files
Place them in the appropriate directory in your magento installation.
Place the license file in the /app directory
Clear your cache in your magento installation
On the Magento Cache page, hit the green button labeled “Flush Cache Storage”
If you are logged into the magento Admin, Log out and re-login.
You should now see a new menu item, Dropship under the Sales Tab and Drop Shipping under System→Configuration, under the Sales section.