Installation of packages is not supported from the IDE yet. Installing a package means recompiling the lazarus.exe, which is write protected at that moment, because you are running it.
What you might want to try (untested here).
In a dos-box:
go to your lazarus directory
copy lazarus.exe lazarus-old.exe
lazarus-old.exe
then install your package.
exit lazarus
start lazarus.exe
HTH,
Vincent.