I have a LaTeX project set up:
tex/
- documents/
- some_file.tex
- support/
- todonotes.sty
where some_file.tex
us
Or you can just put the style file in the same directory as your document instead of in "support." now... if you're on OS X, you should probably be using texlive 2008. If you are using texlive 2008, pop open a terminal and type:
sudo tlmgr install todonotes
replace "todonotes" with the package name you want to install.