You should have a Data/Packages folder in your Sublime Text 2 install directory.
All you need to do is download the plugin and put the plugin folder in the Packages folder.
Or, an easier way would be to install the Package Control Plugin by wbond.
Just go here: https://sublime.wbond.net/installation
and follow the install instructions.
Once you are done you can use the Ctrl + Shift + P shortcut in Sublime, type in install and press enter, then search for emmet.
EDIT: You can now also press Ctrl + Shift + P right away and use the command ‘Install Package Control’ instead of following the install instructions. (Tested on Build 3126)