Setcpu is an app located in the market unless you got the .apk file from somewhere. If you got the .apk file, put it on your SD card. Use something like Appinstaller from the market. It will bring up all the .apk files that are on your SD card. Choose the Setcpu.apk file and hit install.
You will need to have an Overclock Kernal flashed to use this though.