It will not work with a JVM version inferior to 1.5.
If you want to use OcaIDE with Eclipse 3.2, either grab the jar from here and install it manually, or recompile it from source: Compiling OcaIDE for Eclipse 3.2.
Also, the plug-in has been reported not to work with GCJ (since GCJ doesn't completely support Java 1.5 yet)
It works best on Linux and Mac OS X, and some features are unavailable under Windows (the debugger and interrupting the toplevel, mainly; although it should theoretically be able to work under cygwin, some tools just won't work unmodified).
In the page that opens, click on Search for new features to install and then on Next.
Then, click on New Remote Site and enter "OcaIDE" as a name, and http://ocaml.eclipse.ortsa.com/ as URL. Validate, select "OcaIDE" in the list, and click Finish.
Then, click on "OcaIDE" among available features, and click Next.
Accept the licence, and choose an installation directory (choose a directory in which you have writing rights).
The plug-in then downloads... It can take a while depending on your connection speed.
Accept the installation (the plug-in is not digitally signed), and restart Eclipse when it asks you to.
As soon as Eclipse is restarted, you can start to use the plug-in.
You can access the online help by clicking on Help > Help Contents in the Eclipse main menu, and choosing O'Caml Development User Guide in the list of available topics.