Save the files pst-func.sty|pro|tex in a directory, which is part of your 
local TeX tree. The pro file should go into $TEXMF/dvips/pstricks/
Then do not forget to run texhash to update this tree.
For more information  see the documentation of your LATEX distribution 
on installing packages into your LATEX distribution or the 
TeX Frequently Asked Questions:
(http://www.tex.ac.uk/cgi-bin/texfaq2html?label=instpackages).

pst-func needs pst-plot and pstricks, which should be part of your
local TeX installation, otherwise get it from a CTAN server, f.ex.
ftp://ftp.ctan.org

The documentation also needs pstricks-add, which is also available from
CTAN or any mirror.