First of all, you need to install Baldur's Gate II Shadows of Amn, preferably with all the updates and patches.

1- Download the installer from this web.
2- Double click the installer and follow the instructions.
3- When installed, you'll have shortcuts to the game in the desktop and the Start menu.
4- Before playing, reading the instructions is recommended. They are
available in a pdf document under the Shoplifting 2 shorcuts group in
the Start menu.
5- To start playing, double click the shortcut of the game. A new
interface appears. It is interesting to read the Readme file before
playing.
6- Select 'play' and then 'start 1' and 'start 2'. In the following
screen, select 'protocol' and choose the preferred protocol connection,
then 'ready' and 'start 3'.
7- In the following screen, write a name for the session and player, and click on 'load game'.
8- In the saved games screen, load the game 'Start-E'.
9- In the characters screen, click on all the arrows behind the portraits and then on 'ready'.
10- And that's all! Good luck!

For further information, I recommend the article written by Icelus about how to build and maintain clean installations:

http://forums.pocketplane.net/index.php/topic,17555.0.html