I was installing NetBeans on a new computer recently (and prompted by a question on StackOverflow), so it came to my attention that, due to the blazing fast speed of NetBeans development, the instructions for installing the NetBeans PMD plugin are a little outdated. Here's an updated set of instructions*.
1. Download the latest PMD release from SourceForge.
2. Unzip the zip file to any directory. I put mine in C:\Program Files\Java\pmd-netbeans60-2.2.1, right next to my JDK directory. You'll see that the zip file contained a .nbm file that encapsulates the plugin.
3. Run NetBeans and click Tools -> Plugins
4. Go to the Downloaded tab on the Plugins dialog.
5. Click on the Add Plugins... button at the top of the tab.
6. Navigate to the directory where you unzipped the PMD plugin zip file.
7. Select the file named pmd.nbm.
8. Click the Open button.
You'll get a dialog saying that the plugin isn't signed, asking you whether you want to accept it anyway or cancel the installation. You'll need to accept it without a signature in order to use the plugin. You'll need to restart NetBeans after installation is complete.
You can run PMD by selecting a single source code file or an entire source package, then selecting Tools -> Run PMD (or Ctrl-Alt-P) from the main NetBeans menu.
To change from the default rule set go to Tools -> Options on the main NetBeans menu. On the Options dialog, select the Miscellaneous toolbar button, then the PMD tab. On the PMD tab you can press the Manage Rules... button to change the default ruleset, or press the Manage Rulesets... button to create a custom ruleset of your own.
*Note: I'm doing the installation for NetBeans 6.1 running on Windows XP as I write these instructions. I've verified these instructions using NetBeans 6.0.1 on Ubuntu.