PCI slots are actually inside your computer. It's quite easy to do this. Look at the back of your PC. See all the ports there (modem, monitor, etc)? Each of those is on a card similar to the one you purchased.
--BEFORE DOING ANYTHING TURN OFF THE COMPUTER--
To do this you are going to have to remove the access panel on your PC. It should just be a couple of screws. Once that is off, you will have to look in and you will see where the other things you looked at earlier are, and there should be an empty slot or 2 there that your new card will fit.
Towards the back of that slot on the PC itself there will be a cover plate that needs to be removed where your antenna will go through the case. It will have one screw in the top of it. remove that plate, and slide your adapter into the slot. then return that screw to the hole to hold it securely in place. No need to make it too tight, just snug.
replace your cover and you are ready to set up the software.
If you feel the least bit uncertain about any of that take it to best buy or somewhere and they can do it for you....for a fee of course.
if you have already tried all that and really do have no more open, you could always remove your modem card and plug it in there as long as all that's on it is the modem. You won't be using that anyway.