Do you mean you can't switch to using ADW Launcher or you can't apply ADW Launcher themes?
The option to use the launcher and set it as default should just show up the first time you press the home button after installing it. You can also get an app called Home Switcher for Froyo to select it.
To apply themes, I'm not 100% sure since I don't use ADW, but there should be an option in the menu somewhere. Press menu on the home screen, there should be something like "preferences" or "launcher settings" (as opposed to system settings) and from there you can apply themes. You don't launch themes like apps.