Well first you need to download pegasus...this can be found on the main page under downloads. After you download it you still may have to update it if bill hasn't had a chance to update the installer...
and to do that open up pegasus click on update then click pegasus update manager. After all that is done open pegasus hook the gryphon up and click on updates then targeted functions and it should download. You will have to disable your firewall probably.
And under the downloads on the main page is a pdf that goes into a few more things than I said.
If you have vista it is a little more instructions found on the pdf. file.
Maybe I covered it all.
Edit:
I didn't see that you said you had download pegasus...now you probably need to just update pegasus then do the rest of what I had said.