If you want to play SAMP (San Andreas Multiplayer), firstly, you need to have GTA SA.
Buy it in Steam (http://store.steampowered.com/app/12120/Grand_Theft_Auto_San_Andreas/) or not. :)

Secondly, you need to download client of SAMP. Actual version is 0.3.7-R2.
You can download it from official website: http://files.sa-mp.com/sa-mp-0.3.7-R2-install.exe.
Download page is https://www.sa-mp.com/download.php.

Thirdly, install SAMP how ordinary program. "Next, Next, Install". When installing, choose directory, where you have installed game GTA SA.

Then add to favorites IP adress of server and play. Enjoy!