If you're using Windows, you can enable Curl support by copying the files libeay32.dll and ssleay32.dll into your c:\windows\system32 folder, then enabling the extension in your php.ini file. Look for the line ";extension=php_curl.dll" and take the semi-colon off from the beginning.
If you're using Unix, you either have to install Curl support through your package manager, or you need to compile it from source. Compiling Curl support into your PHP takes two steps: installing the Curl development libraries on your machine (do this through your package manager), then recompiling PHP with the --with-curl switch in your configure line. As long as you have the development version of Curl installed, this should work fine.