Okay, first set the nameservers at myhosting.com to point to DreamHost - see: http://wiki.dreamhost.com/Nameservers ; Look on myhosting.com to see how to do that.
Then use DreamHost's one-click install - see the link above. You don't install anything on your computer (unless you are installing WP locally - which is totally separate and not accessible on the internet).
It can take up to 72 hours for a domain name nameserver change to take effect, but I think DH has an option for you to use a temporary domain until yours fully changes.
If you need help, DreamHost has good support - you can ask on their forums or email support.