First, get a Java 5 JRE, unless you did that already.
Now download the required version of UMLet from their website.
Extract the ZIP wherever you like.
You can start it like this:
java -jar umlet.jar
To have a more convenient way of starting it, create an executable file with the following content there:
#!/bin/sh cd "`dirname "$0"`" java -jar umlet.jar $@
If you want a Desktop Entry too, create one named umlet.desktop with the following content (paths altered as necessary):
[Desktop Entry] Name=UMLet Exec=/files/software/umlet/umlet Icon=/files/software/umlet/icons/umlet.gif Terminal=false Type=Application StartupNotify=true Categories=Development;Java
It should be roughly the same than on Linux, feel free to elaborate here.