1. Download Vimclojure from http://www.vim.org/scripts/script.php?script_id=2501
  2. Unzip the zip file into ~/.vim (Unix) resp. vimfiles (Windows).
  3. Ensure that the following is in your .vimrc resp. _vimrc:
    set nocompatible
    filetype plugin indent on
    syntax on
    let clj_highlight_builtins = 1
  4. Edit a Clojure file.

If you don't know Vim, Vimclojure might be not the right tool for you. Vim's learning curve can be as steep as Emacs'. Eclipse + CCW, Netbeans + Enclojure, or Textmate (on OS X) are probably more suitable in this case.