If it's the free hosted blog by Wordpress I don't think they allow it, try blogger.com. If it's on your own domain you'll either need a theme (like prosense) that already has the ads, use a plugin, use a widget or edit the php files yourself.
A widget probably would be the easiest, but it's only for the sidebar unless you find a theme with a top or bottom widget, or find a plugin. Go to Appearance/Widgets and drag and drop the Text widget into the sidebar. Add your code to the widget. BTW you can use ColorCop (Google it) to match the Adsense colors to your theme. Or you can use some type of plugin (just Google it), but I'm not familiar with using any of them. I usually add it to the sidebar (widget), and add the code to single.php, but that takes a little experimenting with.
You can add it yourself by adding their code (google adsense) in single.php,index.php,sidebar.php OR else you need to install good plugin for that (google search for adsense plugin for wp gives you so many results). DON.
there are lots of plug is for that. and there are also themes that are ready for adsense, you should have selected the adsense ready
If you are on Wordpress 2.8 , from your dashboard select plugin installer and search for Adsense . There are so many Adsense plugins like one mentioned by the other DPers are available . The use of Wordpress plugins to install Adsense code is pretty easier with so many placing positions available by default . But make sure that the plugins is not stealing your Adsense income . The other option is to edit the post page php files to include Adsense code manually .
add it their code (google adsense) in single.php,index.php,sidebar.php OR anyplace you want in your blog that was prepaed to put thats codes in your theme just copy and paste