First of all, please make sure that you have added KDE's binary installation directory (e.g. /opt/kde/bin) to your PATH and KDE's library installation directory to your LD_LIBRARY_PATH (only necessary on systems that do not support rpath; on Linux ELF, it should work without). This environment variable may be called differently on some systems, e.g. it is called SHLIB_PATH on IRIX. Then set the environment variable KDEDIR to the base of your KDE tree, e.g. /opt/kde.
Please bear in mind that it is unwise to set LD_LIBRARY_PATH blindly. In the vast majority of cases it's unnecessary and can do more harm than good. There's a web page written by Dave Barr explaining the evils of LD_LIBRARY_PATH and it can be found at http://www.cis.ohio-state.edu/~barr/ldpath.html.
Even though you can use most of the KDE applications simply by calling them, you can only benefit fully from KDE's advanced features if you use the KDE window manager KWM and its helper programs.
In order to make it easy for you, we have provided a simple script called startkde which gets installed in $KDEDIR/bin and is therefore in your path.
Edit the file .xinitrc in your home directory (make a backup copy first!), remove everything that looks like calling a window manager, and insert startkde instead. Restart X. If you use kdm/xdm, you will have to edit the file .xsession instead of .xinitrc. And if there is no .xinitrc or .xsession in your home directory, simply create a new one with just one line containing "startkde" (without the quotes!). Note: some systems (notably Redhat Linux) uses .Xclients instead.
This should present you with a new shining KDE desktop. You can now start to explore the wonderful world of KDE. In case you want to read some documentation first, there is a highly recommended quickstart guide available. Furthermore, every application has an online help that is available via the help menu.