.sty files need to be put it some subdirectory of
tex/latex in a texmf tree. Those trees have a rather fixed structure, but their location may vary according to your OS and TeX distribution. If you use Unix (including Mac OS) and TeX Live, there's by default a hierarchy
as well as other directories. You want to put it in the
texmf-local directory, not in the other directories that are managed by the TeX Live installer; when you upgrade TeX Live, your package may be overwritten. The
texmf-local hierarchy, as the names hints, is for local packages managed by you; it won't be touched by updates (which is also why it's directly under the
texlive directory, and not
texlive/2009, for instance).
You may also choose to create a directory called
texmf in your home directory, and the package will be visible only to you, not the other users on your computer.
On Windows with MiKTeX, I believe the directory for local installs is
C:\Localtexmf by default.
In any case and whatever your distribution, you have to place the
.sty file inside
.../texmf-local/tex/latex and not directly in the root directory; it's just won't work otherwise.
Then, if you've installed the package in your home directory, you have nothing to do. If you've put in
texmf-local, on the other hand, you need to run the utility
texhash, it's an alias).