We have created a dedicated CKEditor for Drupal module that comes in two versions.
The first, commercial one includes a CKFinder license as well as a dedicated e-mail support channel that you can use if you need help to install, configure, or customize the component. You can find it on the official CKEditor website along with extensive documentation.
There is also a free version that is available on its official website: http://drupal.org/project/ckeditor. This does not include a CKFinder license, although the support for this file browser is built-in and you can enable it after you buy a license. The e-mail support channel is also not available. You can, of course, buy a separate CKFinder license at any time after you install the module or add a custom file browser solution and integrate it with the editor.
Installation
Whichever version you choose, the installation process is similar.
For the commercial module, use the instructions provided in the Installation section of the documentation.
For the free version, download the module (use a version that is appropriate for your Drupal release — 6 or 7) and unpack it. Upload it to the sites/all/modules directory.
Download the latest CKEditor version from the official download page for the editor: http://ckeditor.com/download.
Unpack it and upload to the sites/all/modules/ckeditor/ckeditor directory.
Finally, enable the module in the administration panel and configure it to customize it to your needs.
You can check the demo site of CKEditor + Drupal to see the module at work as well as find some installation tips and screencasts.