The Joomla Install from Web feature was added as part of to make installing extensions from the Joomla Extensions Directory (JED).
To enable it simply go into the Joomla Extension Manager and click on the notice at the top to install the extra plugin needed for it to function (Note there are known issues with Akeeba Backup hiding this message).
You can see a video walk through of the Install from web feature here: http://www.youtube.com/watch?v=P33D24gNEUk
If you already have an extension on JED then you need to make a few small changes to get your extension working on the Joomla Extension Finder. Click Here for more information.